Sökning: "Merton s default model"

Visar resultat 1 - 5 av 13 uppsatser innehållade orden Merton s default model.

1. 1. 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

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

   Magister-uppsats, Lunds universitet/Nationalekonomiska institutionen

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

   Sammanfattning : 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. LÄS MER

4. 3. Mergers and Acquisitions and Default Risk: Evidence from Western European Financial Sector

   Magister-uppsats, Lunds universitet/Nationalekonomiska institutionen

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

   Sammanfattning : 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. LÄS MER

5. 4. Altman versus Merton - Are corporate credit rating changes new information?

   Magister-uppsats, Lunds universitet/Företagsekonomiska institutionen

   Författare :Anton Andersson; Joakim Brunnhage; [2016]
   Nyckelord :Credit ratings; Credit rating changes; Merton model; Altman Z-score; Business and Economics;

   Sammanfattning : With the relative performance between accounting-based and option-based approaches for default prediction being a key subject in previous research, combined with criticism against the rating agencies’ timeliness in assigning credit ratings, surprisingly few attempts have been made to investigate the models’ usefulness in predicting corporate credit ratings. This thesis is the first to investigate the Merton and Altman’s Z-score models’ relative performance in predicting future credit rating changes. LÄS MER

7. 5. A study in the effectiveness of predicting default using the Merton model during financial distress

   Kandidat-uppsats, Göteborgs universitet/Institutionen för nationalekonomi med statistik

   Författare :Martin Gholami; Andreas Hjelm; [2014-06-09]
   Nyckelord :Balance sheet; Bloomberg; Default probability; Excel; Ford Motor Company; Volatility;

   Sammanfattning : Bachelor thesis in financial economics Applied financial pricing theory Department of finance School of Business, Economics and Law Gothenburg University 9 June 2014. Title: A study in the effectiveness of predicting default using the Merton model during financial distress Author: Martin Gholami and Andreas Hjelm Supervisor: Evert Carlsson, Ph. LÄS MER