Επισκόπηση δομικών μοντέλων πιστωτικού κινδύνου
A review of structural credit risk models
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Δομικά μοντέλα ; Πιστωτικός κίνδυνοςAbstract
The measurement of credit risk is necessary for the economic prosperity of companies and banks. The 2008 crisis is a recent example that demonstrates the importance of the correct measurement of credit risk, as poorly made assessments by banks contributed to the spread of the crisis. The purpose of this paper is the presentation of credit risk models that belong to the category of structural models. Structural models assume that the credit event (default) occurs when a stochastic process that can express the value of the assets of an entity, passes below some threshold (eg below the total liabilities of the entity). In this perspective, three structural models were analyzed, the Merton model, the KMV model and the CreditGrades model. Merton's
model is the foundational structural model, and subsequent models developed from it. The KMV model, like CreditGrades, are extensions of Merton's model and correct some of the model's shortcomings. Finally, a numerical example of the above models is presented. The company for the application of the models is the American company Bed Bath and Beyond retail company specializing in home goods and is in the process of bankruptcy from the beginning of 2023. The computing package used is R.
Postgraduate Studies Programme
Εφαρμοσμένη ΣτατιστικήDepartment
Σχολή Χρηματοοικονομικής και Στατιστικής. Τμήμα Στατιστικής και Ασφαλιστικής ΕπιστήμηςNumber of pages
60Language
GreekCollections
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Αναφορά Δημιουργού-Μη Εμπορική Χρήση-Όχι Παράγωγα Έργα 3.0 Ελλάδα
Αναφορά Δημιουργού-Μη Εμπορική Χρήση-Όχι Παράγωγα Έργα 3.0 Ελλάδα