Sökning: "the modified Merton model"

Visar resultat 6 - 7 av 7 uppsatser innehållade orden the modified Merton model.

1. 6. Market Models vs. Accounting Models - Default prediction during the financial turmoil

   Kandidat-uppsats, Lunds universitet/Nationalekonomiska institutionen

   Författare :Daniel Demirel; [2010]
   Nyckelord :Credit risk; Default prediction; Merton; Altman; Z-score; Byström; Accounting based; Market based; Probability of default. Default probability; Business and Economics;

   Sammanfattning : 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. LÄS MER

3. 7. Evaluation of Capital Structure Arbitrage in the Equity-Credit Markets

   Magister-uppsats, Lunds universitet/Företagsekonomiska institutionen

   Författare :Daniel Zakrisson; Fredrik Hedberg; Daniel Ferm; Natalia Danilina; [2007]
   Nyckelord :Capital Structure Arbitrage; Credit Default Swaps; Creditgrades; Value-at-Risk; Arbitrage Trading; Management of enterprises; Företagsledning; management; Business and Economics;

   Sammanfattning : Purpose: The purpose of this thesis is to test for the existence of Capital Structure Arbitrage oppertunities in the equity-credit markets. Methodology: The mispricing of Credit Default Swap contracts are calculated and used as input in an Equity-Credit market trading strategy. LÄS MER