• norsk
    • English
  • English 
    • norsk
    • English
  • Login
View Item 
  •   Home
  • Fakultet for økonomi (ØK)
  • Institutt for samfunnsøkonomi
  • View Item
  •   Home
  • Fakultet for økonomi (ØK)
  • Institutt for samfunnsøkonomi
  • View Item
JavaScript is disabled for your browser. Some features of this site may not work without it.

Joint Default Probabilities: A Model with Time-varying and Correlated Sharpe Ratios and Volatilities

Myhrer, Øystein
Master thesis
Thumbnail
View/Open
552589_FULLTEXT01.pdf (617.1Kb)
URI
http://hdl.handle.net/11250/267420
Date
2012
Metadata
Show full item record
Collections
  • Institutt for samfunnsøkonomi [687]
Abstract
The probabilities of joint default among companies are one of the major concerns in credit risk management, mainly because it aects the distribution of loan portfolio losses and is therefore critical when allocating capital for solvency purposes. This paper proposes a multivariate model with time-varying and correlated Sharpe ratios and volatilities for the value of the rms, calibrated to t sample averages between and within the rating categories A and Ba. We found that, in the standard Merton framework, the model performs well with one average A-rated rm and one average Ba-rated rm and with two average Ba-rated rms when the joint default probabilities are compared with similar empirical probabilities.
Publisher
Norges teknisk-naturvitenskapelige universitet, Fakultet for samfunnsvitenskap og teknologiledelse, Institutt for samfunnsøkonomi

Contact Us | Send Feedback

Privacy policy
DSpace software copyright © 2002-2019  DuraSpace

Service from  Unit
 

 

Browse

ArchiveCommunities & CollectionsBy Issue DateAuthorsTitlesSubjectsDocument TypesJournalsThis CollectionBy Issue DateAuthorsTitlesSubjectsDocument TypesJournals

My Account

Login

Statistics

View Usage Statistics

Contact Us | Send Feedback

Privacy policy
DSpace software copyright © 2002-2019  DuraSpace

Service from  Unit