Browsing NTNU Open by Author "Rundhaug, Mathilde"
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Modeling Bond Spreads and Credit Default Risk in the Norwegian Financial Market using Structural Credit Default Models
Rundhaug, Mathilde (Master thesis, 2019)Kredittratingsbyråer er ansvarlige for å utarbeide realistiske og troverdige kredittvurderinger. På tross av at kredittratingsprosesser aldri kan bli fullstendig objektive, er det vår oppfatning at dagens prosesser kan ... -
Modeling Bond Spreads and Credit Default Risk in the Norwegian Financial Market Using Structural Credit Default Models
Rundhaug, Mathilde; De Lange, Petter Eilif; Aamo, Per Egil (Peer reviewed; Journal article, 2020)In this study, we examine the credit risk of banking bonds. We apply two option-based credit default models originally derived by Merton and Black and Cox, with the aim of producing objective credit ratings and credit ... -
Utilizing structural models to evaluate probability of default for Norwegian stock-based firms
Andersen, Bendik Persch; Rundhaug, Mathilde; De Lange, Petter Eilif (Chapter, 2021)