Search Results - subject:"Default Probability"

An Empirical Estimation of Default Risk of the UK Real Estate Companies

Patel, Kanak; Vlamis, Prodromos - In: The Journal of Real Estate Finance and Economics 32 (2006) 1, pp. 21-40

Based on the Black and Scholes (Black, F., and M. Scholes. (1973). The Pricing of Options and Corporate Liabilities, Journal of Political Economy 81, 637–659) and Merton (Merton, R. C. (1974). On the Pricing of Corporate Debt: The Risk Structure of Interest Rates, Journal of Finance 29,...

Persistent link: https://www.econbiz.de/10005680578

Risk-neutral and actual default probabilities with an endogenous bankruptcy jump-diffusion model

Courtois, Olivier Le; Quittard-Pinon, François - In: Asia-Pacific Financial Markets 13 (2006) 1, pp. 11-39

This paper focuses on historical and risk-neutral default probabilities in a structural model, when the firm assets dynamics are modeled by a double exponential jump diffusion process. Relying on the Leland [(1994a) Journal of Finance, 49, 1213–1252; (1994b) Bond prices, yield spreads, and optimal...

Persistent link: https://www.econbiz.de/10005727022

Estimating probabilities of default for German savings banks and credit cooperatives

Porath, Daniel - In: Schmalenbach Business Review (sbr) 58 (2006) 3, pp. 214-233

Savings banks and cooperative banks are important players in the German financial market. However, we know very little about their default risk, because these banks usually resolve financial distress within their own organizations, which means that outsiders cannot observe defaults. In this...

Persistent link: https://www.econbiz.de/10005736928

From Fault Tree to Credit Risk Assessment: A Case Study

GATFAOUI, Hayette - EconWPA - 2005

Reliability has been largely applied to industrial systems in order to study the various possibilities of systems’ failure. The goal is to establish the chain of events leading to any system’s failure, namely the top event. Looking for the minimal paths leading to any system’s fault allows...

Persistent link: https://www.econbiz.de/10005407916

Using Credit Derivatives to Compute Market-Wide Default Probability Term Structures

Byström, Hans - Nationalekonomiska Institutionen, Ekonomihögskolan - 2005

In this paper we suggest a simple way of backing out market-wide risk-neutral default probability (and default density … represented by two frequently traded iTraxx Europe CDS indexes, and the resulting analytical default probability term structures … are updated on a daily basis. We believe such instantaneous default probability term structures to be useful not only for …

Persistent link: https://www.econbiz.de/10005645158

Valoracion de credit default swaps: Una aplicacion del modelo de Hull-White al mercado espanol

Batlle, Maria Carmen Badia; Galisteo, Merche; … - Facultat d'Economia i Empresa, Universitat de Barcelona - 2005

independent. Data from Banco Santander Central Hispano bonds are used to calculate risk neutral default probability and then CDS …

Persistent link: https://www.econbiz.de/10005600435

Valuing defaultable bonds: an excursion time approach

Nardon, Martina - EconWPA - 2005

Recently there has been some interest in the credit risk literature in models which involve stopping times related to excursions. The classical Black-Scholes-Merton-Cox approach postulates that default may occur, either at or before maturity, when the firm's value process falls below a critical...

Persistent link: https://www.econbiz.de/10005561733

Default Probabilities According to the Bond Market

Byström, Hans; Kwon, Oh Kang - Nationalekonomiska Institutionen, Ekonomihögskolan - 2005

In this paper we describe a simple way of analytically computing entire ìterm structures of default probabilities using information embedded in the corporate bond market data. This market-based approach of estimating the creditworthiness of firms gives probabilities of default at various...

Persistent link: https://www.econbiz.de/10005419368

Are Bank Ratings Coherent with Bank Default Probabilities in Emerging Market Economies ?

Godlewski, Christophe - EconWPA - 2004

In this paper we investigate the coherence between bank ratings and default probability in emerging market economies …

Persistent link: https://www.econbiz.de/10005076980

A forward-looking model for time-varying capital requirements and the New Basel Capital Accord

Torricelli, Costanza; Pederzoli, Chiara - Dipartimento di Economia "Marco Biagi", Università … - 2004

This paper proposes a forward-looking model for time-varying capital requirements which finds application within the New Basel Capital Accord (NBCA) framework. The model aims at reconciling two somewhat contrasting objectives of the NBCA proposal: introducing risk-sensitive capital requirements...

Persistent link: https://www.econbiz.de/10008517827