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Collections :	Ιδρυματικό Αποθετήριο ΟΠΑ / AUEB Institutional Repository Σχολή Διοίκησης Επιχειρήσεων / School of Business Τμήμα Λογιστικής και Χρηματοοικονομικής / Department of Accounting and Finance Μεταπτυχιακές Εργασίες / Postgraduate dissertations

Title :	Υποδείγματα μέτρησης πιστωτικού κινδύνου. Εφαρμογή του μοντέλου του Merton στις εισηγμένες επιχειρήσεις του μη χρηματοπιστωτικού τομέα του Ελληνικού Χρηματιστηρίου

Creator :	Μπέκα, Χριστίνα

Contributor :	Καβουσανός, Εμμανουήλ (Επιβλέπων καθηγητής) Χαλαμανδάρης, Γεώργιος (Εξεταστής) Athens University of Economics and Business, Department of Accounting and Finance (Degree granting institution)

Type :	Text

Extent :	94p.

Language :	en

Abstract :	Credit risk is probably the oldest form of risk in financial markets. Financial markets are subject to many changes, concerning the deregulation of the financial markets in connection with the intensive competition and the uncertainty of the interest fluctuation. Financial Institutes have invested in developing and enhancing credit models in order to analyze, estimate and hedge the credit risk. It must be noticed that the last few years credit risk modeling has been evolving faster than ever and many models have appeared on the market. This phenomenon could be explained mainly by the two following reasons. The first reason is the Basel II Capital Accord. The three pillars of the recently reinforced Basel Capital Accord by the implementation of (1) minimum capital requirements, (2) supervisory review of an institution’s capital adequacy and internal assessment process, and (3) market discipline through disclosure of banking practices. In particular, according with Basel, banks are obligated to retain regulatory capital related to credit risk using internal models. The second reason is the development of the securitization of bond portfolios that has brought to light the need for quantitative estimation of credit risks. In the first section, the most well known approaches to credit risk measurement will be presented. This study aims at analyzing and finding out the advantages and disadvantages of the main credit risk models and their predictability of business failure. In recent years a large number of researchers have worked on the prediction of business failure. In the second section, we adopt Merton structural model and its extension KMV model, to estimate and analyze the distance and the probability to default of non financial listed companies on the Athens Stock Exchange for the period 2002-2006. To test the performance of the Merton approach adopted in this paper, we calculate the distances and probabilities of default implied by our model for a sample of nonfinancial failed firms for the period 2002-2006 that were listed on the Athens Stock Exchange.

Abstract :

Credit risk is probably the oldest form of risk in financial markets. Financial markets are subject to many changes, concerning the deregulation of the financial markets in connection with the intensive competition and the uncertainty of the interest fluctuation. Financial Institutes have invested in developing and enhancing credit models in order to analyze, estimate and hedge the credit risk. It must be noticed that the last few years credit risk modeling has been evolving faster than ever and many models have appeared on the market. This phenomenon could be explained mainly by the two following reasons. The first reason is the Basel II Capital Accord. The three pillars of the recently reinforced Basel Capital Accord by the implementation of (1) minimum capital requirements, (2) supervisory review of an institution’s capital adequacy and internal assessment process, and (3) market discipline through disclosure of banking practices. In particular, according with Basel, banks are obligated to retain regulatory capital related to credit risk using internal models. The second reason is the development of the securitization of bond portfolios that has brought to light the need for quantitative estimation of credit risks. In the first section, the most well known approaches to credit risk measurement will be presented. This study aims at analyzing and finding out the advantages and disadvantages of the main credit risk models and their predictability of business failure. In recent years a large number of researchers have worked on the prediction of business failure. In the second section, we adopt Merton structural model and its extension KMV model, to estimate and analyze the distance and the probability to default of non financial listed companies on the Athens Stock Exchange for the period 2002-2006. To test the performance of the Merton approach adopted in this paper, we calculate the distances and probabilities of default implied by our model for a sample of nonfinancial failed firms for the period 2002-2006 that were listed on the Athens Stock Exchange.

Subject :	Credit risk Credit derivatives KMV model Merton model Athens stock exchange

Date :	31-07-2008

Licence :

File: Mpeka_2008.pdf

Type: application/pdf

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