Essays about: "Merton model"

Showing result 21 - 25 of 61 essays containing the words Merton model.

  1. 21. The Impact of Brexit on Levels of Corporate Credit Risk: Evidence from UK and EU Non-financial Companies

    University essay from Lunds universitet/Nationalekonomiska institutionen

    Author : Veronika Výstupová; Haidar Almahrouq; [2019]
    Keywords : Brexit; credit risk; probability of default; Merton model; panel data analysis; Business and Economics;

    Abstract : The impact of the UK’s decision to leave the EU has received a lot of attention in scientific research in recent years. The effect of Brexit on many different variables and factors related to financial markets and general economy has been studied extensively. Corporate credit risk is, however, an area which did not receive as much attention. READ MORE

  3. 22. A Comparative Analysis of the Performance of Euro-Denominated Green and Conventional Bonds

    University essay from Lunds universitet/Nationalekonomiska institutionen

    Author : Liina-Johanna Leeve; Lois Anum; [2019]
    Keywords : Green Bonds; Conventional Bonds; Sustainable Investments; Corporate Bonds; Fama-Macbeth Regression; Fama-French Model; Matching Principle; Merton Model; Business and Economics;

    Abstract : The green bond market has seen exponential growth since its boom in 2013 but literature on this topic is considered woefully inadequate. This research paper therefore seeks to compare the performance of European green bonds against its conventional counterparts. READ MORE

  4. 23. An introduction to Multilevel Monte Carlo with applications to options.

    University essay from Umeå universitet/Institutionen för matematik och matematisk statistik

    Author : Kristofer Cronvald; [2019]
    Keywords : Multilevel Monte Carlo; Options; Mathematical finance; Simulation; Stochastic Differential Equations; Computational complexity; Strong convergence; Weak convergence; Euler-Maruyama; Milstein.;

    Abstract : A standard problem in mathematical finance is the calculation of the price of some financial derivative such as various types of options. Since there exists analytical solutions in only a few cases it will often boil down to estimating the price with Monte Carlo simulation in conjunction with some numerical discretization scheme. READ MORE

  5. 24. Mergers and Acquisitions and Default Risk: Evidence from Western European Financial Sector

    University essay from Lunds universitet/Nationalekonomiska institutionen

    Author : Teemu Mäkiaho; Henri Rikhard Kiviniemi; [2019]
    Keywords : M A; Default Risk; Merton Model; Probability of Default; Distance-to-Default; Financial Sector; Business and Economics;

    Abstract : The purpose of this paper is to examine the impact of mergers and acquisitions on the default risk of acquiring companies. The sample consists of 276 transactions carried out between 2010 and 2018 by acquirers from Western European financial sector. READ MORE

  6. 25. Stress-testing of the Russian Banking Sector: Contingent Claims Analysis Approach

    University essay from Lunds universitet/Nationalekonomiska institutionen

    Author : Anna Kulakova; [2019]
    Keywords : credit risk; stress-testing; contingent claims analysis; Merton model; vector autoregression; Business and Economics;

    Abstract : This study aims to perform stress-testing of the Russian banking sector with a focus on credit risk measures derived by using contingent claims analysis, an extension of Black-Scholes and Merton option pricing theory. Risk exposure indicators are linked to a number of macroeconomic variables that describe global and domestic economic and financial development. READ MORE