Search Results - subject:"Merton's Model"

A bias in the volatility smile

Chance, Don M.; Hanson, Thomas A.; Li, Weiping; … - In: Review of derivatives research 20 (2017) 1, pp. 47-90

Persistent link: https://www.econbiz.de/10011930559

Quantitative easing and default probability of corporate social responsibility in US

Hsu, Feng-Jui; Liu, I-Chien - In: Applied economics letters 24 (2017) 10/12, pp. 681-685

Persistent link: https://www.econbiz.de/10011714134

Glamour, value and anchoring on the changing P/E

Anderson, Keith; Zastawniak, Tomasz - In: The European journal of finance 23 (2017) 4/6, pp. 375-406

Persistent link: https://www.econbiz.de/10011736268

Pricing European options and risk measurement under exponential Lévy models : a practical guide

Salhi, Khaled - In: International journal of financial engineering 4 (2017) 2/3, pp. 1-36

Persistent link: https://www.econbiz.de/10011777826

Merton model and capital measurement in commercial banks : a case study of selected emerging countries in Southeast Asia

Alizadeh, Mohammadreza Janvisloo; Sherafatian-Jahromi, Reza - In: Asia-Pacific financial markets 24 (2017) 3, pp. 169-191

Persistent link: https://www.econbiz.de/10011797662

Foreign bank subsidiaries' default risk during the global crisis : What factors help insulate affiliates from their parents?

Anginer, Deniz; Cerutti, Eugenio M.; Martínez Pería, … - In: Journal of financial intermediation 29 (2017), pp. 19-31

Persistent link: https://www.econbiz.de/10011822406

Does the GARCH Structural Credit Risk Model Make a Difference?

Lehnert, Thorsten; Jin, Xisong; Simone, Francisco Nadal de - Centre de Recherche en Économie Appliquée (CREA), … - 2011

Abstract: In this study, we empirically investigate and evaluate various approaches to structurally assess credit risk using a panel of European banking groups. We consider not only the standard approaches in the literature, but also include models that allow the asset volatility to be...

Persistent link: https://www.econbiz.de/10010900746

EMPIRICAL STUDY OF THE PROBABILITY OF DEFAULT IN CASE OF ROMANIAN COMPANIES LISTED ON STOCK EXCHANGE

Petra, Petru Tunde; Zsuzsa, Farkas Dalma -; Marton, … - In: Annals of Faculty of Economics 1 (2011) 1, pp. 515-523

developed by Merton (1974), methodology used by Moody's Corporation (known as KMV Merton model). The aim of this study is to … Bucharest Stock Exchange for 2000-2008 time period. In this paper we used Merton's model, which assumes that a company defaults …

Persistent link: https://www.econbiz.de/10009366165

Predicting financial distress: revisiting the option-based model

Agrawal, Khushbu; Maheshwari, Yogesh - In: South Asian Journal of Global Business Research 5 (2016) 2, pp. 268-284

. Originality/value – The study re-establishes the utility of the Merton model in India using a simplified version of the Merton … model that can be easily operationalized by practitioners, reasonably larger sample size and is done in a more recent period …

Persistent link: https://www.econbiz.de/10015005845

Using Merton model for default prediction : an empirical assessment of selected alternatives

Afik, Zvika; Arad, Ohad; Galil, Koresh - In: Journal of empirical finance 35 (2016), pp. 43-67

Persistent link: https://www.econbiz.de/10011662716