کد مقاله | کد نشریه | سال انتشار | مقاله انگلیسی | نسخه تمام متن |
---|---|---|---|---|
5063432 | 1372229 | 2009 | 12 صفحه PDF | دانلود رایگان |
عنوان انگلیسی مقاله ISI
A down-and-out exchange option model with jumps to evaluate firms' default probabilities in Brazil
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کلمات کلیدی
موضوعات مرتبط
علوم انسانی و اجتماعی
مدیریت، کسب و کار و حسابداری
کسب و کار و مدیریت بین المللی
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چکیده انگلیسی
We develop a tractable structural model to estimate a firm's default probability by modeling its asset and debt behavior. The model incorporates jump factors. For a set of Brazilian large corporations, we compare the structural model results to the default probabilities predicted by a survival analysis applied to the Central Bank debt information database. Our model outperforms other structural models. In a last step, we use a firm's sector failure probabilities to calibrate the model. This process is executed by adjusting the model jump volatility and it helps to explain the differences between debt and equity market failure probabilities.
ناشر
Database: Elsevier - ScienceDirect (ساینس دایرکت)
Journal: Emerging Markets Review - Volume 10, Issue 3, September 2009, Pages 179-190
Journal: Emerging Markets Review - Volume 10, Issue 3, September 2009, Pages 179-190
نویسندگان
Claudio Henrique da Silveira Barbedo, Eduardo Facó Lemgruber,