Default Risk Model in a Fuzzy Framework
نویسندگان
چکیده
Default risk model is provided by using option pricing theory in a fuzzy framework in consideration of a simple company comprised of a single type of the debt that is free from profit payment and a single type of capital that is liberated from dividend. The model is based on the assumption that asset value of a company is the sum of total market value of stock and debt value, considering a situation where the asset value becomes below the debt value is default. For constructing the default risk model, a new variable is defined to derive a formula to evaluate the probability of default. Thus, a EDP(estimated default probability) model with the first and second moment is proposed and since debt value is fluctuated as asset price some bounds are established to somehow admit the fluctuation of the debt values, employing fuzzy number in the total market value of asset value.
منابع مشابه
A Fuzzy AHP-TOPSIS Framework for the Risk Assessment of Green Supply Chain Implementation in the Textile Industry
In the emerging supply chain environment, green supply chain risk management plays a significant role than ever. Risk is an inherent uncertainty and has tendency to disrupt the typical green supply chain management (GSCM) operations and eventually reduce the success rate of industries. In order to mitigate the consequences, a fuzzy multi-criteria group decision making modeling (FMCGDM) which co...
متن کاملRisk Analysis of Operating Room Using the Fuzzy Bayesian Network Model
To enhance Patient’s safety, we need effective methods for risk management. This work aims to propose an integrated approach to risk management for a hospital system. To improve patient’s safety, we should develop flexible methods where different aspects of risk and type of information are taken into consideration. This paper proposes a fuzzy Bayesian network to model and analyze risk in the op...
متن کاملThe Effect of Macroeconomic Variables on Credit Default Cycles in the Country's Monetary Market
The main challenge facing the country's banking system is credit default or the possibility of defaulting borrowers from fulfilling their obligations to the banking system, known as credit risk. Therefore to control credit risk, the factors influencing this type of risk must be identified. Several factors affect credit default in the non-government sector. This study examines the asymmetric ef...
متن کاملOptimal replenishment and credit policy in supply chain inventory model under two levels of trade credit with time- and credit-sensitive demand involving default risk
Traditional supply chain inventory modes with trade credit usually only assumed that the up-stream suppliers offered the down-stream retailers a fixed credit period. However, in practice the retailers will also provide a credit period to customers to promote the market competition. In this paper, we formulate an optimal supply chain inventory model under two levels of trade credit policy with d...
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 کامل