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HOW GOOD IS MERTON MODEL AT ASSESSING CREDIT RISK? EVIDENCE FROM INDIA

 

Marketed By :  VDM Verlag Dr. Müller   Sold By :  Kamal Books International  
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Rs. 3,651

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  • Product Description
 

This book models the default probabilities and credit spreads for select Indian firms in the Black-Scholes-Merton framework.In particular,it shows that the objective (or ‘real'') probability estimates are higher than the risk-neutral estimates over the sample period. However, the probability measure is found to be robust to the ‘default trigger point''. The model output also compares favorably with the default rate reported by CRISIL''s Average 1-year rating transitions as well as the Altman Z-score measure. However it does not generate spreads as high as those observed in the corporate bond market. Perhaps not surprisingly, this is consistent with the received literature on credit spreads. This book is meant for Credit Analysts and Officers of the Credit Risk Management Department of banks and financial institutions who are concerned with designing and developing internal credit rating models, pricing models and credit portfolio models as well as students of Finanace and those teaching Risk Management.

Product Specifications
SKU :COC69206
AuthorAlok Mishra
LanguageEnglish
BindingPaperback
Number of Pages56
Publishing Year2011-01-12T00:00:00.000
ISBN978-3639326345
Edition1 st
Book TypeEconomics
Country of ManufactureIndia
Product BrandVDM Verlag Dr. Müller
Product Packaging InfoBox
In The Box1 Piece
Product First Available On ClickOnCare.com2015-07-08 00:00:00
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