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Chien-Min Kang, Ming-Chieh Wang and Lin Lin
In response to relatively little evidence on the determinants of the financial distress in cooperative financial institutions (e.g., Credit Unions), this paper proposes a distress indicator of Merton Distance to default (Merton DD), which was constructed...
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Michael Jacobs, Jr.
In this study, we consider the construction of through-the-cycle (?TTC?) PD models designed for credit underwriting uses and point-in-time (?PIT?) PD models suitable for early warning uses, considering which validation elements should be emphasized in ea...
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Pavel V. Gapeev, Libo Li and Zhuoshu Wu
We derive explicit solutions to the perpetual American cancellable standard put and call options in an extension of the Black?Merton?Scholes model. It is assumed that the contracts are cancelled at the last hitting times for the underlying asset price pr...
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André Giudice de Oliveira,Vinicius Mothé Maia,Antonio Carlos Figueiredo Pinto,Marcelo Cabús Klotzle,Luiz Felipe Jarques da Motta
Pág. 44 - 64
This paper compares the BM&FBovespa reference option premiums with the Garman-Kohlhagen model, Corrado-Su modified model, Merton's jump-diffusion model, and Black modified model for skewness and kurtosis for pricing dollar options and Ibovespa futures. T...
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Meadhbh Sherman, Niall O?Sullivan and Jun Gao
This study examines the market-timing performance of Chinese equity securities investment funds during the period from May 2003 to May 2014 using the parametric tests of Treynor?Mazuy and Henriksson?Merton as well as the Jiang non-parametric test. Based ...
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Mustapha Ammari,Ghizlane Lakhnati
Pág. 779 - 785
The Basel Committee offers banks the opportunity to estimate Loss Given Default (LGD) if they wish to calculate their own value for the capital required to cover credit losses. The flexibility to determine LGD values tailored to a bank?s portfolio will l...
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Ömer Faruk Tan
Pág. 49 - 57
This paper aims to evaluate the performance of South African equity funds between January 2009 and November 2014. This study period overlaps with the study period of quantitative easing during which developing economies in financial markets have been inf...
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Firman Pribadi,Susanto Susanto
Pág. 393 - 404
This research attempts to use Black-Schole-Merton (BSM) model based on market approach to predict default probability of publishing bank in Indonesia. This is done by using stock prices and financial report. In this effort, this study estimates the neutr...
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Wei-ling Chen and Leh-chyan So
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Alejandro Vargas Sánchez
En el presente documento se presentan los conceptos relacionados con la estructura de capital desde una perspectiva de mercados financieros imperfectos. El objetivo principal es mostrar mediante un estudio de caso, cómo una empresa puede generar un impac...
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