Essays about: "Fritiof Carling"
Found 1 essay containing the words Fritiof Carling.
1. Probability of Default and Credit Spreads in Banks: Examining a Modified Merton Model for Assessing Bank RiskUniversity essay from Handelshögskolan i Stockholm/Institutionen för finansiell ekonomi
Abstract : We examine the modified Merton model, as proposed by Nagel and Purnanandam (2019), and its ability to explain bank credit risk by comparing it to the standard Merton model. Previous structural models of default risk build on the assumption that assets follow a log-normal distribution, which is not applicable to banks. READ MORE