Search Results - subject:"Merton's Model"

Estimating probabilities of default of different firms and the statistical tests

Dar, Amir Ahmad; Anuradha, N.; Qadir, Shahid - In: Journal of Global Entrepreneurship Research : JGER 9 (2019) 27, pp. 1-15

Abstract: The probability of default (PD) is the essential credit risks in the finance world. It provides an estimate of the likelihood that a borrower will be unable to meet its debt obligations. Purpose: This paper computes the probability of default (PD) of utilizing market-based data which...

Persistent link: https://www.econbiz.de/10011989600

Distance to default and probability of defaultdan experimental study

Dar, Amir Ahmad; Qadir, Shahid - In: Journal of Global Entrepreneurship Research : JGER 9 (2019) 32, pp. 1-12

The distance to default (DD) and the probability of default (PD) are the essential credit risks in the finance world. It provides an estimate of the likelihood that a borrower will be unable to meet its debt obligations. It is crucial to know which parameter effects more on DD and PD so that...

Persistent link: https://www.econbiz.de/10011989685

Merton model's prediction and empirical evidence on bond and equity prices reaction to new bond issues

Chen, Fan - In: Applied economics 54 (2022) 9, pp. 974-995

Persistent link: https://www.econbiz.de/10012874920

Valuation of European firms during the Russia-Ukraine war

Bougias, Alexandros; Episcopos, Athanasios; Leledakis, … - In: Economics letters 218 (2022), pp. 1-3

Persistent link: https://www.econbiz.de/10013466502

Risk framework analysis in the management of sovereign debt: The Argentine case

Delfau, Emiliano - 2018

The main objective of this paper is to develop a practical approach to Argentina's sovereign risk management. Through Contingent Claim Analysis (CCA), Gape, Gray, Lim and Xiao (2008)[1] developed a sovereign risk framework whereby we can construct a marked to market sovereign balance sheet and...

Persistent link: https://www.econbiz.de/10012099660