A sample of large European banks, computing the default probabilities as their risk indicator, is analyzed. We compare the results obtained applying the structural KMV-Merton model, the recently proposed zero price probability (ZPP) model with the expected default frequency by rating agencies. We show the differences among the three approaches from the empirical point of view and we discuss their suitability during the last decade.
Default Probabilities and Credit Rating
Mario Maggi;
2013-01-01
Abstract
A sample of large European banks, computing the default probabilities as their risk indicator, is analyzed. We compare the results obtained applying the structural KMV-Merton model, the recently proposed zero price probability (ZPP) model with the expected default frequency by rating agencies. We show the differences among the three approaches from the empirical point of view and we discuss their suitability during the last decade.File in questo prodotto:
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