Default probability prediction with static Merton-D-Vine copula model
The result's identifiers
Result code in IS VaVaI
<a href="https://www.isvavai.cz/riv?ss=detail&h=RIV%2F62156489%3A43110%2F15%3A43908419" target="_blank" >RIV/62156489:43110/15:43908419 - isvavai.cz</a>
Result on the web
<a href="https://www.ejobsat.cz/wp-content/uploads/2016/01/Klepac_EJOBSAT_Volume_1_Issue_2.pdf" target="_blank" >https://www.ejobsat.cz/wp-content/uploads/2016/01/Klepac_EJOBSAT_Volume_1_Issue_2.pdf</a>
DOI - Digital Object Identifier
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Alternative languages
Result language
angličtina
Original language name
Default probability prediction with static Merton-D-Vine copula model
Original language description
We apply standard Merton and enhanced Merton-D-Vine copula model for the measurement of credit risk on the basis of accounting and stock market data for 4 companies from Prague Stock Exchange, in the midterm horizon of 4 years. Basic Merton structural credit model is based on assumption that firm equity is European option on company assets. Consequently enhanced Merton model take in account market data, dependence between daily returns and its volatility and helps to evaluate and project the credit quality of selected companies, i.e. correlation between assets trajectories through copulas. From our and previous results it is obvious that basic Merton model significantly underestimates actual level, i.e. offers low probabilities of default. Enhanced model support us with higher simulated probability rates which mean that capturing of market risk and transferring it to credit risk estimates is probably a good way or basic step in enhancing Merton methodology.
Czech name
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Czech description
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Classification
Type
J<sub>x</sub> - Unclassified - Peer-reviewed scientific article (Jimp, Jsc and Jost)
CEP classification
BB - Applied statistics, operational research
OECD FORD branch
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Result continuities
Project
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Continuities
S - Specificky vyzkum na vysokych skolach
Others
Publication year
2015
Confidentiality
S - Úplné a pravdivé údaje o projektu nepodléhají ochraně podle zvláštních právních předpisů
Data specific for result type
Name of the periodical
European Journal of Business Science and Technology
ISSN
2336-6494
e-ISSN
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Volume of the periodical
1
Issue of the periodical within the volume
2
Country of publishing house
CZ - CZECH REPUBLIC
Number of pages
10
Pages from-to
104-113
UT code for WoS article
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EID of the result in the Scopus database
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