Σύγκριση υποδειγμάτων πιστωτικού κινδύνου
Comparison of credit models
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Πιστωτικός κίνδυνος ; Μοντέλο MertonAbstract
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.
Postgraduate Studies Programme
Αναλογιστική Επιστήμη και Διοικητική ΚινδύνουDepartment
Σχολή Χρηματοοικονομικής και Στατιστικής. Τμήμα Στατιστικής και Ασφαλιστικής ΕπιστήμηςNumber of pages
86Language
GreekCollections
Except where otherwise noted, this item's license is described as
Attribution-NonCommercial-NoDerivatives 4.0 Διεθνές
Attribution-NonCommercial-NoDerivatives 4.0 Διεθνές