Utilize este identificador para referenciar este registo: http://hdl.handle.net/10400.14/17420
Título: Accessing default risk of a public company with structural models : AcF 706 : CFA-Stream dissertation
Autor: Cheng, Xinqi
Orientador: Shackleton, Mark
Palavras-chave: Default probability
Credit spread
Structural model
Public firm
Data de Defesa: 5-Jun-2014
Resumo: There are various ways to evaluate the credit risk of a public company using both market data as well as accounting data. This paper focuses on applying two structural models, Merton (1974) and Leland (1994), to access the default risk of a public company, Thomas Cook Group plc. With estimated default probabilities higher than 90% during 2011 to 2012, it is shown that both models can predict bankruptcy, which is in the form of debt restructuring and capital refinancing in early 2013. The Leland model also suggests that there exists an optimal capital structure that could minimize the credit spread.
URI: http://hdl.handle.net/10400.14/17420
Aparece nas colecções:FCEE - Dissertações de Mestrado / Master Dissertations
R - Dissertações de Mestrado / Master Dissertations

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