Sökning: "Merton default model"

Visar resultat 1 - 5 av 31 uppsatser innehållade orden Merton default model.

  1. 1. Application of the Merton Model and the Altman Z-score Model in Credit Risk Assessment - an Empirical Study on Chinese Listed Companies

    Magister-uppsats, Lunds universitet/Nationalekonomiska institutionen

    Författare :Runzhou Chen; Hongzhe Fu; [2023]
    Nyckelord :Credit risk assessment; the Merton Model; The Altman Z-score model; Chinese market; Business and Economics;

    Sammanfattning : Corporate default poses significant risks to investors and stakeholders, highlighting the importance of predicting and managing financial risk effectively. When the geographical scope is narrowed down to China, the unique characteristics of the Chinese market, such as the lack of comprehensive credit risk databases and the influence of state-owned enterprises and small-medium enterprises, present challenges in accurately assessing creditworthiness. LÄS MER

  3. 2. The Impact of Mergers & Acquisitions on Credit- and Investment risk. : -Evidence from Sweden

    Magister-uppsats, Linnéuniversitetet/Institutionen för ekonomistyrning och logistik (ELO)

    Författare :Casper Dahlberg; Max Lundberg; [2022]
    Nyckelord :Mergers Acquisitions; M A; Credit Risk; Investment Risk; Default Risk; The Institutional Imperative; Merton’s Distance-to-Default model; Merton’s DD; Value-at-Risk; VaR; Tail risk.;

    Sammanfattning : We examine the impact of Mergers & Acquisitions on credit- and investment risk using a sample of 402 acquisitions by 215 Swedish firms from 2000 to 2020. We find significant evidence that, on average, M&A increases the credit risk and inversely decreases the investment risk of the acquiring firm. LÄS MER

  4. 3. Corporate default prediction: a comparison between Merton model and random forest in an environment of data scarcity

    Magister-uppsats, Lunds universitet/Nationalekonomiska institutionen

    Författare :Aitor Díaz García; Matiss Mirosnikovs; [2022]
    Nyckelord :Merton model; random forest; default prediction; SMOTE.; Business and Economics;

    Sammanfattning : The aim of this paper is to compare the performance of the Merton model to a machine learning technique (random forest), in a context where the number of predictors is low or the dataset is quite small. Since random forest is a data-intensive method, the main goal is to find the minimum number of explanatory variables and observations that is needed for it to perform at least as well as the Merton model, an approach developed in the 70s that gives the probability of the firm defaulting. LÄS MER

  5. 4. 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 ekonomi

    Författare :Linus Sigurdson; Fritiof Carling; [2020]
    Nyckelord :Banks; RNPD; Merton model; Credit spreads; Risk;

    Sammanfattning : 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

  7. 5. Optimal financial resources for Central Counterparties: Introducing default dependence of clearing members: a mixed binomial approach

    Master-uppsats, Göteborgs universitet/Graduate School

    Författare :Leonardo Di Geronimo; [2019-07-02]
    Nyckelord :Central Counterparties; Risk Management; Merton Model; Mixed Binomial Model; Merton Mixed Binomial Model; Initial Margin; Default Fund;

    Sammanfattning : Central counterparties (CCPs) are ˝nancial intermediaries consisting of clearing members trading ˝nancial derivatives between each other. In a ˝nancial network, CCPs become the buyer to every seller and the seller to every buyer. LÄS MER