Default probability prediction with static Merton-D-Vine copula model

Kód výsledku v IS VaVaI

RIV/62156489:43110/15:43908419 - isvavai.cz

Výsledek na webu

https://www.ejobsat.cz/wp-content/uploads/2016/01/Klepac_EJOBSAT_Volume_1_Issue_2.pdf

DOI - Digital Object Identifier

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Jazyk výsledku

angličtina

Název v původním jazyce

Default probability prediction with static Merton-D-Vine copula model

Popis výsledku v původním jazyce

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.

Název v anglickém jazyce

Default probability prediction with static Merton-D-Vine copula model

Popis výsledku anglicky

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.

Druh

J_x - Nezařazeno - Článek v odborném periodiku (Jimp, Jsc a Jost)

CEP obor

BB - Aplikovaná statistika, operační výzkum

OECD FORD obor

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Projekt

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Návaznosti

S - Specificky vyzkum na vysokych skolach

Rok uplatnění

2015

Kód důvěrnosti údajů

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

Název periodika

European Journal of Business Science and Technology

ISSN

2336-6494

e-ISSN

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Svazek periodika

1

Číslo periodika v rámci svazku

2

Stát vydavatele periodika

CZ - Česká republika

Počet stran výsledku

10

Strana od-do

104-113

Kód UT WoS článku

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EID výsledku v databázi Scopus

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