Utilize este identificador para referenciar este registo: http://hdl.handle.net/10400.14/17400
Título: AcF 706 : assessing default risk of a public company
Autor: Hu, Wenqing
Orientador: Shackleton, Mark
Palavras-chave: Credit spread
Corporate bankruptcy
Credit risk models
Data de Defesa: 13-Fev-2014
Resumo: The dissertation presents the determinants of credit spread, evolution of credit risk modeling and empirically evidence over the period, as well as models based on accounting information. The study explores performance of the firm with accounting and share price information. It also evaluates the predictive of two credit risk models: Merton (1974) and Leland (1994), using accounting and market variables. The finding is that both models tend to underestimate credit risk spreads, though most of the previous literature points out that Leland model usually overestimates credit spread. Further research may focus on market and industrial component of models.
URI: http://hdl.handle.net/10400.14/17400
Aparece nas colecções:FCEE - Dissertações de Mestrado / Master Dissertations
R - Dissertações de Mestrado / Master Dissertations

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Dissertation Wenqing Hu.pdf1,11 MBAdobe PDFVer/Abrir


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