A Default Probability Estimation Model:
نویسندگان
چکیده
On the assumption that asset value of a company is the sum of the total amount of current price of stock and debt value, estimation was made with the first moment and second moment concerning a mean value and variance of the sum. We also assume a new variable for which fluctuation during an evaluation period conforms to these moments and follow geometric Brownian motion. Then we construct a default probability estimation model on condition that the variable is regarded as the asset value of the company. For constructing expected default probability (EDP) model, we partially follow Levy’s(1992) way in which a new variable to be used for average option is assumed. Thus its evaluation formula is derived. In addition, concerning estimated values of the default probability the model introduced this time is compared with the conventional structural approach with respect to the company in Japan where default was actually caused and the company free from the default.
منابع مشابه
A hybrid model for estimating the probability of default of corporate customers
Credit risk estimation is a key determinant for the success of financial institutions. The aim of this paper is presenting a new hybrid model for estimating the probability of default of corporate customers in a commercial bank. This hybrid model is developed as a combination of Logit model and Neural Network to benefit from the advantages of both linear and non-linear models. For model verific...
متن کاملDelphi application in solicitation of qualitative risk factors for estimation of a perceived probability of default: Case of Karafarin Bank
Unreliability of financial statements in Iran has urged this country’s financial services industry management to manipulate practices by which they could gain reliable risk scores for borrowers. This research extracts the most influential qualitative factors that would impact the default of a business relationship borrower. Solicitation of the factors is done through Delphi methodology. The mea...
متن کاملFinding Default Barrier and Optimal Cutoff Rate in KMV Structural Model based on the best Ranking of Companies
According to the adverse consequences that are brought by financial distress for companies, economy and financial –monetary institutions, the use of methods that can predict the occurrence of financial failure and prevent the loss of wealth is of great importance. The major models of credit risk assessment are based on retrospective information and using the methods which use the updated market...
متن کاملCredit Risk Predictive Ability of G-ZPP Model Versus V-ZPP Model
Credit risk management is becoming more and more important in recent years. When a company deals with a financial problem, it may not be able to fulfill its financial obligations, which can cause direct and indirect financial losses to shareholders, creditors, investors and other people in the community. Advanced credit risk models that are based on market value include improving credit quality...
متن کاملInvestigating the Theory of Survival Analysis in Credit Risk Management of Facility Receivers: A Case Study on Tose'e Ta'avon Bank of Guilan Province
Nowadays, one of the most important topics in risk management of banks, financial, and credit institutions is credit risk management. In this research, the researchers used survival analytic methods for credit risk modeling in terms of the conditional distribution function of default time. As a practical task, the authors considered the reward credit portfolio of Tose'e Ta'avon Bank of Guilan P...
متن کامل