Essays about: "Distance-to-default"

Showing result 6 - 10 of 13 essays containing the word Distance-to-default.

1. 6. Dynamic Credit Models : An analysis using Monte Carlo methods and variance reduction techniques

   University essay from KTH/Matematisk statistik

   Author : Emelie Järnberg; [2016]
   Keywords : Credit risk; Dynamic credit modelling; Stochastic process; Monte Carlo; Importance sampling; Antithetic variates; Probability matrix method; Default probability; Default event; Variance reduction;

   Abstract : In this thesis, the credit worthiness of a company is modelled using a stochastic process. Two credit models are considered; Merton's model, which models the value of a firm's assets using geometric Brownian motion, and the distance to default model, which is driven by a two factor jump diffusion process. READ MORE

3. 7. Mortgage Lending Institutions in Scandinavia: A study of risk for the period 2000-2013

   University essay from Umeå universitet/Företagsekonomi

   Author : Syed Anil Akbar; Duyen Ngoc La; [2014]
   Keywords : ;

   Abstract : In the last 14 years there has been a major flux in the Scandinavian financial institutions and real estate markets. The increase in size and openness, in both the markets and the institutions allowed the sector to expand phenomenally, raising concerns about the potential rise of risks. READ MORE

4. 8. The Relationship between Expected Returns and Financial Distress Risk. Implication for Corporate Valuation

   University essay from Handelshögskolan i Stockholm/Institutionen för finansiell ekonomi

   Author : Jan Seitz; Vilma Raisyte; [2013]
   Keywords : Financial Distress; Implied Cost of Equity; CAPM; Altman Z-Score; Distance-to-Default;

   Abstract : Using portfolio and regression analysis, this study examines the expected returns of European companies for the period 2000-2011 with respect to financial distress risk in order to provide practical implications for corporate valuation. The relationship between realized returns and financial distress risk is found to be negative, in line with the financial distress risk anomaly acknowledged in the existing literature. READ MORE

5. 9. Expected Default Measures in the KMV model and the Market-based model

   University essay from Lunds universitet/Nationalekonomiska institutionen

   Author : Kuang He; [2012]
   Keywords : Default risk; Distance-to-default; KMV model; Market based Model; Capital Asset Pricing Model CAPM ; Leverage ratio; Equity volatility; Business and Economics;

   Abstract : Two credit risk models are applied to calculate the expected distance to default in a sample of 32 Chinese listed non-financial companies from 2006 to 2011.One is the KMV(Merton) model under the machinery of option pricing and other is the market based model relied on a conditional version of capital asset pricing model(CAPM). READ MORE

6. 10. Rating Changes - Can they be predicted with the Merton model?

   University essay from Lunds universitet/Företagsekonomiska institutionen

   Author : Simone Rebeggiani; Marcus Westerlund; [2012]
   Keywords : The Merton model; credit risk; credit rating; rating changes; rating prediction; Business and Economics;

   Abstract : Purpose: The purpose of the thesis was to investigate if the Merton model had any predictive power of changes in Moody’s credit ratings and if there was a difference in the predictability between upgrades and downgrades. This was done in an effort to either support or dismiss the opinion that credit ratings are lagging. READ MORE