Merton's Model Application: Non-gaussian Assumption

Result code in IS VaVaI
<a href="https://www.isvavai.cz/riv?ss=detail&h=RIV%2F61989100%3A27510%2F15%3A86096311" target="_blank" >RIV/61989100:27510/15:86096311 - isvavai.cz</a>
Result on the web
<a href="http://wis.vsb.cz/ekf/uloziste/2015-frpfi-sbornik/Part_I_web.pdf" target="_blank" >http://wis.vsb.cz/ekf/uloziste/2015-frpfi-sbornik/Part_I_web.pdf</a>
DOI - Digital Object Identifier
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Result language
angličtina
Original language name
Merton's Model Application: Non-gaussian Assumption
Original language description
Estimation of default probability is very important part of the company risk management. Especially nowadays, when there are a lot of crises and issues that are rehearsing stability of the companies all around the world. In this paper the Merton model isapplied on a real data of selected companies. Two issues are solved in the paper. First, optimization problem for the estimation of the appropriate portion of the liabilities for practical utilization of the Merton model is outlined, while utility function is designed as variation between modelled and agency's ratings. Second, prediction of the probability of default via Merton model is examined, while two different stochastic processes are used; Geometric Brownian motion and Variance Gamma process, respectively. It is shown, that utilization of the more sophisticated processes, which enable to model also higher moments of the probability distribution, can capture empirical distribution (particularly in the fat tails of the probability
Czech name
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Czech description
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Project
Result was created during the realization of more than one project. More information in the Projects tab.
Continuities
P - Projekt vyzkumu a vyvoje financovany z verejnych zdroju (s odkazem do CEP)

Publication year
2015
Confidentiality
S - Úplné a pravdivé údaje o projektu nepodléhají ochraně podle zvláštních právních předpisů

Article name in the collection
Financial Management of Firms and Financial Institutions : 10th international scientific conference : 7th - 8th September 2015, Ostrava, Czech Republic : proceedings. [Part I - IV]
ISBN
978-80-248-3865-6
ISSN
2336-162X
e-ISSN
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Number of pages
10
Pages from-to
332-341
Publisher name
VŠB - Technical University of Ostrava
Place of publication
Ostrava
Event location
Ostrava
Event date
Sep 7, 2015
Type of event by nationality
EUR - Evropská akce
UT code for WoS article
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