AcF 706 : assessing default risk of a public company

Bibliographic Details
Main Author: Hu, Wenqing
Publication Date: 2013
Format: Master thesis
Language: eng
Source: Repositórios Científicos de Acesso Aberto de Portugal (RCAAP)
Download full: http://hdl.handle.net/10400.14/17400
Summary: 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.
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spelling AcF 706 : assessing default risk of a public companyCredit spreadCorporate bankruptcyCredit risk modelsThe 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.Shackleton, MarkVeritatiHu, Wenqing2015-05-04T07:23:20Z2014-02-1320132014-02-13T00:00:00Zinfo:eu-repo/semantics/publishedVersioninfo:eu-repo/semantics/masterThesisapplication/pdfhttp://hdl.handle.net/10400.14/17400urn:tid:201131510enginfo: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:RCAAP2025-03-13T11:46:02Zoai:repositorio.ucp.pt:10400.14/17400Portal AgregadorONGhttps://www.rcaap.pt/oai/openaireinfo@rcaap.ptopendoar:https://opendoar.ac.uk/repository/71602025-05-29T01:44:33.533991Repositórios 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 AcF 706 : assessing default risk of a public company
title AcF 706 : assessing default risk of a public company
spellingShingle AcF 706 : assessing default risk of a public company
Hu, Wenqing
Credit spread
Corporate bankruptcy
Credit risk models
title_short AcF 706 : assessing default risk of a public company
title_full AcF 706 : assessing default risk of a public company
title_fullStr AcF 706 : assessing default risk of a public company
title_full_unstemmed AcF 706 : assessing default risk of a public company
title_sort AcF 706 : assessing default risk of a public company
author Hu, Wenqing
author_facet Hu, Wenqing
author_role author
dc.contributor.none.fl_str_mv Shackleton, Mark
Veritati
dc.contributor.author.fl_str_mv Hu, Wenqing
dc.subject.por.fl_str_mv Credit spread
Corporate bankruptcy
Credit risk models
topic Credit spread
Corporate bankruptcy
Credit risk models
description 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.
publishDate 2013
dc.date.none.fl_str_mv 2013
2014-02-13
2014-02-13T00:00:00Z
2015-05-04T07:23:20Z
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/10400.14/17400
urn:tid:201131510
url http://hdl.handle.net/10400.14/17400
identifier_str_mv urn:tid:201131510
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
instacron:RCAAP
instname_str FCCN, serviços digitais da FCT – Fundação para a Ciência e a Tecnologia
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institution RCAAP
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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