Search Results - subject:"Default Probabilities"

The new robust conic GPLM method with an application to finance: prediction of credit default

Özmen, Ayşe; Weber, Gerhard-Wilhelm; Çavuşoğlu, Zehra - In: Journal of Global Optimization 56 (2013) 2, pp. 233-249

This paper contributes to classification and identification in modern finance through advanced optimization. In the last few decades, financial misalignments and, thereby, financial crises have been increasing in numbers due to the rearrangement of the financial world. In this study, as one of...

Persistent link: https://www.econbiz.de/10010994078

A comparative study of the probability of default for global financial firms

Câmara, António; Popova, Ivilina; Simkins, Betty - In: Journal of Banking & Finance 36 (2012) 3, pp. 717-732

This article presents a modification of Merton’s (1976) ruin option pricing model to estimate the implied probability of default from stock and option market prices. To test the model, we analyze all global financial firms with traded options in the US and focus on the subprime mortgage crisis...

Persistent link: https://www.econbiz.de/10011065647

A Merton Model Approach to Assessing the Default Risk of UK Public Companies

Tudela, Merxe; Young, Garry - Royal Economic Society - RES - 2003

This paper shows how a Merton-model approach can be used to develop measures of the probability of failure of quoted UK companies. Probability estimates are constructed for a group of failed companies and their properties as leading indicators of failure assessed. Probability estimates of...

Persistent link: https://www.econbiz.de/10005577138

Default Risk in Stochastic Volatility Models

Gersbach, Hans; Surulescu, Nicolae - CER-ETH Center of Economic Research, Department of … - 2010

default probability. Our simulation results indicate that the stochastic volatility model tends to predict higher default … probabilities than the corresponding Merton model if a firm’s credit quality is not too low. Otherwise the stochastic volatility …

Persistent link: https://www.econbiz.de/10010900149

Efficient estimation of transition rates between credit ratings from observations at discrete time points

Bladt, Mogens; SØrensen, Michael - In: Quantitative Finance 9 (2009) 2, pp. 147-160

credit ratings, including default probabilities, over any time horizon. Thus the advantages of a continuous-time model can be …

Persistent link: https://www.econbiz.de/10005279126

Sovereign rescheduling probabilities in emerging markets: a comparison with credit rating agencies' ratings

Georgievska, A.; Georgievska, L.; Stojanovic, A.; … - In: Journal of Applied Statistics 35 (2008) 9, pp. 1031-1051

This study estimates default probabilities of 124 emerging countries from 1981 to 2002 as a function of a set of … Fitch Ratings. Sovereign debt default probabilities are used by investors in pricing sovereign bonds and loans as well as in …

Persistent link: https://www.econbiz.de/10005462458

Expected Default Probabilities in Structural Models: Empirical Evidence

Patel, Kanak; Pereira, Ricardo - In: The Journal of Real Estate Finance and Economics 34 (2007) 1, pp. 107-133

; Leland and Toft 1996; Longstaff and Schwartz 1995; Merton 1974) to estimate expected default probabilities (EDPs) for a …

Persistent link: https://www.econbiz.de/10005716708

A MERTON-MODEL APPROACH TO ASSESSING THE DEFAULT RISK OF UK PUBLIC COMPANIES

TUDELA, M.; YOUNG, G. - In: International Journal of Theoretical and Applied … 08 (2005) 06, pp. 737-761

This paper shows how a Merton-model approach can be used to develop measures of the probability of failure of individual quoted UK companies. Probability estimates are then constructed for a group of failed companies and their properties as leading indicators of failure assessed. Probability...

Persistent link: https://www.econbiz.de/10005060199

A dynamic binomial expansion technique for credit risk measurement: a Bayesian filtering approach

Woo, Wing Hoe; Siu, Tak Kuen - In: Applied Mathematical Finance 11 (2004) 2, pp. 165-186

order to incorporate the time-dependent and time-varying behaviour of default probabilities for measuring the risk of a … credit risky portfolio. In reality, the 'true' default probabilities are unobservable to credit analysts and traders. Here …, the uncertainties of 'true' default probabilities are incorporated in the context of a dynamic Bayesian paradigm …

Persistent link: https://www.econbiz.de/10005495430

Default Risk, Systematic Risk and Thai Firms Before, During and After the Asian Crisis

Byström, Hans; Worasinchai, Lugkana; Chongsithipol, Srisuda - Nationalekonomiska Institutionen, Ekonomihögskolan - 2004

significant increase in market based default probabilities around the crisis and a fairly slow return to pre-crisis levels. The …

Persistent link: https://www.econbiz.de/10005419367