Global ETD Search
Search theses and dissertations gathered from participating repositories worldwide. Every result links back to the library that holds it. No account is needed.
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Showing 1 to 10 of 10 for “"Default Probability"”.
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Quantification of the default probability of the top 42 non-financial South African firms
The focus of this dissertation is to quantify the probability of firm default focusing on the top 42 non-financial firms listed on the Johannesburg Stock Exchange. This paper follows the same methodology as outlined in the Moody's KMV white papers in implementing the Merton (1974) model. The model …
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Structural credit risk modeling using Merton model and its default probability: A case study of commercial banks in Namibia
… The Merton approach is utilized to estimate the default risk for the three commercial banks in Namibia, and the accuracy of these estimates is assessed using a range of different techniques. The efficiency of the estimates is assessed by testing the extent to which the predictive power of the …
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The Effect of Covid-19 on the Probability of Default of South African Firms Listed on the Johannesburg Stock Exchange (JSE)
… largest non-financial firms and calculated the probability of default for each firm before the pandemic and during the pandemic as at each firm's financial year-end. The default probabilities are calculated predominantly from the value and volatility of firm equity. The results emphasize that …
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Essays on Corporate Default Prediction
… the crucial importance of an accurate corporate default prediction. Consequently, accurate default probability prediction is extremely important. The purpose of this research is to offer a unique contribution to the extant literature. This dissertation consists of three essays.</p><p>In the first …
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Financial distress, dealers' behavior and asset pricing in the foreign exchange market
… is high, a 1% increase in intermediary's default probability does translate into a 4 bps increase in the bid-ask spread that she quotes. When competition is low, a similar deterioration in financial wealth leads to a 6.4 bps increase in bid-ask spread size. I finally show that in the case …
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Essays in Empirical Microeconomics and Finance
… cost of credit on individual credit demand and default probability.
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Empirical essays on inferring information from options and other financial derivatives
… inferred from option prices and credit default swaps (CDS) spreads around the 2008 financial crisis in the U.S. market. Option pricing framework is used where the risk-neutral density of the underlying asset is assumed to be a mixture of two lognormals augmented with a probability of …
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Basel III: Implications of Capital and Liquidity Regulations on Financial Stability during Economic Depression.
… regulations under Basel III and their impact on default risk and systemic risk. The study addresses whether the new liquidity and capital requirements, such as the net stable funding ratio and higher capital adequacy ratio, contribute to alleviating the default risk and systemic risk in emerging …
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Contagion and Systemic Risk in Financial Networks
… ratio is shown to reduce the systemic impact of defaults of large institutions; we show that the same effect may be achieved with less capital by imposing such capital requirements only on systemically important institutions and those exposed to them. In chapter 4, we apply this methodology to …
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Essays in Political Economy
… politicians and the consequences on a country's default probability by considering the effect those shocks have on the perception that international investors have of a country's financial soundness. Chapter 3 completes the parallel between the standard definition of Economics and Political …