Σύγκριση υποδειγμάτων πιστωτικού κινδύνου
Comparison of credit models
The great interest of credit risk in recent years and the requirements of the institutions (Basel) lead to the continuous effort for its quantitative reflection and ultimately its right management. The aim of this paper is to present the main credit risk measurement models. The primary reason have the structural models and specifically the Merton model for which we analyze various approaches which lead to the estimation of probability of default under various assumptions. Additionally, we examine the Altman Z-score as a way of assessing whether the business is going to default the next two years or not. At the end of this dissertation, we apply the approaches to three Greek companies’ real data (Sprider Stores SA, Korres SA and P. Petropoulos AEVE) and compare the results that outcome from each one. As a conclusion, it should be noted that the model of Merton requires several improvements, particularly with regard to assumptions made. Already in the literature we can find several researchers who proposed extensions and improvements of the model which is more realistic and able to be aligned to market data.