Sökning: "the modified Merton model"
Visar resultat 1 - 5 av 7 uppsatser innehållade orden the modified Merton model.
1. Risk Assessment of International Mixed Asset Portfolio with Vine Copulas
Kandidat-uppsats, Linköpings universitet/Tillämpad matematik; Linköpings universitet/Tekniska fakultetenSammanfattning : 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. LÄS MER
2. Empirical Study on the Performance of Hedge Funds in China
D-uppsats, Handelshögskolan i Stockholm/Institutionen för finansiell ekonomiSammanfattning : 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. LÄS MER
3. Probability of Default and Credit Spreads in Banks: Examining a Modified Merton Model for Assessing Bank Risk
C-uppsats, Handelshögskolan i Stockholm/Institutionen för finansiell ekonomiSammanfattning : 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. LÄS MER
4. Measuring credit risk: The relation between CDS Spreads, the modified Merton model and credit ratings
Kandidat-uppsats, Lunds universitet/Nationalekonomiska institutionenSammanfattning : 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. LÄS MER
5. Kreditbetyg Vs. Modifierad Merton - En jämförelse av två kreditriskmått
Kandidat-uppsats, Lunds universitet/Nationalekonomiska institutionenSammanfattning : The purpose of this bachelor ́s thesis is to make a comparison between the two measurements of credit risk ”Distance to default” with a modified Merton model and credit ratings from Standard & Poor ́s. The thesis investigates how well the measures agree with one another by using Spearman ́s rank correlation coefficient. LÄS MER