Accessing default risk of a public company with structural models : AcF 706 : CFA-Stream dissertation

Bibliographic Details
Main Author: Cheng, Xinqi
Publication Date: 2014
Format: Master thesis
Language: eng
Source: Repositórios Científicos de Acesso Aberto de Portugal (RCAAP)
Download full: http://hdl.handle.net/10400.14/17420
Summary: 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.
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spelling Accessing default risk of a public company with structural models : AcF 706 : CFA-Stream dissertationDefault probabilityCredit spreadStructural modelPublic firmThere 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.Shackleton, MarkVeritatiCheng, Xinqi2015-05-04T15:21:53Z2014-06-0520142014-06-05T00:00:00Zinfo:eu-repo/semantics/publishedVersioninfo:eu-repo/semantics/masterThesisapplication/pdfhttp://hdl.handle.net/10400.14/17420urn:tid:201131536enginfo:eu-repo/semantics/openAccessreponame:Repositórios Científicos de Acesso Aberto de Portugal (RCAAP)instname:FCCN, serviços digitais da FCT – Fundação para a Ciência e a Tecnologiainstacron:RCAAP2025-03-13T14:53:20Zoai:repositorio.ucp.pt:10400.14/17420Portal AgregadorONGhttps://www.rcaap.pt/oai/openaireinfo@rcaap.ptopendoar:https://opendoar.ac.uk/repository/71602025-05-29T02:08:38.802010Repositórios Científicos de Acesso Aberto de Portugal (RCAAP) - FCCN, serviços digitais da FCT – Fundação para a Ciência e a Tecnologiafalse
dc.title.none.fl_str_mv Accessing default risk of a public company with structural models : AcF 706 : CFA-Stream dissertation
title Accessing default risk of a public company with structural models : AcF 706 : CFA-Stream dissertation
spellingShingle Accessing default risk of a public company with structural models : AcF 706 : CFA-Stream dissertation
Cheng, Xinqi
Default probability
Credit spread
Structural model
Public firm
title_short Accessing default risk of a public company with structural models : AcF 706 : CFA-Stream dissertation
title_full Accessing default risk of a public company with structural models : AcF 706 : CFA-Stream dissertation
title_fullStr Accessing default risk of a public company with structural models : AcF 706 : CFA-Stream dissertation
title_full_unstemmed Accessing default risk of a public company with structural models : AcF 706 : CFA-Stream dissertation
title_sort Accessing default risk of a public company with structural models : AcF 706 : CFA-Stream dissertation
author Cheng, Xinqi
author_facet Cheng, Xinqi
author_role author
dc.contributor.none.fl_str_mv Shackleton, Mark
Veritati
dc.contributor.author.fl_str_mv Cheng, Xinqi
dc.subject.por.fl_str_mv Default probability
Credit spread
Structural model
Public firm
topic Default probability
Credit spread
Structural model
Public firm
description 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.
publishDate 2014
dc.date.none.fl_str_mv 2014-06-05
2014
2014-06-05T00:00:00Z
2015-05-04T15:21:53Z
dc.type.status.fl_str_mv info:eu-repo/semantics/publishedVersion
dc.type.driver.fl_str_mv info:eu-repo/semantics/masterThesis
format masterThesis
status_str publishedVersion
dc.identifier.uri.fl_str_mv http://hdl.handle.net/10400.14/17420
urn:tid:201131536
url http://hdl.handle.net/10400.14/17420
identifier_str_mv urn:tid:201131536
dc.language.iso.fl_str_mv eng
language eng
dc.rights.driver.fl_str_mv info:eu-repo/semantics/openAccess
eu_rights_str_mv openAccess
dc.format.none.fl_str_mv application/pdf
dc.source.none.fl_str_mv reponame:Repositórios Científicos de Acesso Aberto de Portugal (RCAAP)
instname:FCCN, serviços digitais da FCT – Fundação para a Ciência e a Tecnologia
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instname_str FCCN, serviços digitais da FCT – Fundação para a Ciência e a Tecnologia
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reponame_str Repositórios Científicos de Acesso Aberto de Portugal (RCAAP)
collection Repositórios Científicos de Acesso Aberto de Portugal (RCAAP)
repository.name.fl_str_mv Repositórios Científicos de Acesso Aberto de Portugal (RCAAP) - FCCN, serviços digitais da FCT – Fundação para a Ciência e a Tecnologia
repository.mail.fl_str_mv info@rcaap.pt
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