A cross-sectional analysis for Merton''s credit risk model
碩士 === 國立中正大學 === 財務金融所 === 95 === This thesis aims to examine the effectiveness of Merton’s option pricing model on predicting default risk by incorporating some useful cross-sectional explanatory variables. We first use Merton’s model to estimate distance-to-default (DD) for each company in sampl...
| Main Authors: | , |
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| Other Authors: | |
| Format: | Others |
| Language: | zh-TW |
| Published: |
2007
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| Online Access: | http://ndltd.ncl.edu.tw/handle/58653939020648634056 |