Merton's Model Application: Non-gaussian Assumption

Kód výsledku v 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>

Výsledek na webu

<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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Jazyk výsledku

angličtina

Název v původním jazyce

Merton's Model Application: Non-gaussian Assumption

Popis výsledku v původním jazyce

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

Název v anglickém jazyce

Merton's Model Application: Non-gaussian Assumption

Popis výsledku anglicky

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

Druh

D - Stať ve sborníku

CEP obor

AH - Ekonomie

OECD FORD obor

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Projekt

Výsledek vznikl pri realizaci vícero projektů. Více informací v záložce Projekty.

Návaznosti

P - Projekt vyzkumu a vyvoje financovany z verejnych zdroju (s odkazem do CEP)

Rok uplatnění

2015

Kód důvěrnosti údajů

S - Úplné a pravdivé údaje o projektu nepodléhají ochraně podle zvláštních právních předpisů

Název statě ve sborníku

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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Počet stran výsledku

10

Strana od-do

332-341

Název nakladatele

VŠB - Technical University of Ostrava

Místo vydání

Ostrava

Místo konání akce

Ostrava

Datum konání akce

7. 9. 2015

Typ akce podle státní příslušnosti

EUR - Evropská akce

Kód UT WoS článku

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