Essays about: "the modified Merton model"
Found 5 essays containing the words the modified Merton model.
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1. Risk Assessment of International Mixed Asset Portfolio with Vine Copulas
University essay from Linköpings universitet/Tillämpad matematik; Linköpings universitet/Tekniska fakultetenAbstract : This thesis gives an example of assessing the risk of a financial portfolio with international assets, where the assets may be of different classes, by the use of Monte Carlo simulation and Extreme Value Theory. The simulation uses univariate modelling, models of the assets’ returns as stochastic processes, as well as vine copulas to create dependency between the variables. READ MORE
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2. Empirical Study on the Performance of Hedge Funds in China
University essay from Handelshögskolan i Stockholm/Institutionen för finansiell ekonomiAbstract : China is one of the most popular emerging markets, and the fund management industry has experienced rapid growth during the past decade, especially private funds. Although the regulatory regimes were underdeveloped at first, the government realized that it was important to improve the related regulation to address this problem. READ MORE
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3. Probability of Default and Credit Spreads in Banks: Examining a Modified Merton Model for Assessing Bank Risk
University essay from Handelshögskolan i Stockholm/Institutionen för finansiell ekonomiAbstract : 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
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4. Measuring credit risk: The relation between CDS Spreads, the modified Merton model and credit ratings
University essay from Lunds universitet/Nationalekonomiska institutionenAbstract : Prior articles and reports have named Credit Default Swap (CDS) spreads as a plausible indicator of default risk. In this report, the authors present a significant correlation between CDS spreads and two other more acknowledged methods of measuring default risk probabilities; the modified Merton model and credit ratings from the rating institute Moody’s. READ MORE
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5. Market Models vs. Accounting Models - Default prediction during the financial turmoil
University essay from Lunds universitet/Nationalekonomiska institutionenAbstract : During the past few years we have experienced an extraordinary turbulence in the financial markets. Stock markets in free fall, countless of bankruptcies and government interventions to save huge financial institutions have been regular events. During these times the focal point has been risk management. READ MORE
