The work is aimed at estimating market value of non quoted debt of distressed companies. Concepts about credit risk (PD, EAD, LGD rating) and main structural models (Merton, black and cox, Leland) are described finally, a model that exploits intuitions of KMV and the functioning of exotic options with barrier is built and applied to the Stefanel case

Credit analysis and structural models to distressed corporate debt valuation: the Stefanel case

Minnucci, Giacomo
2016/2017

Abstract

The work is aimed at estimating market value of non quoted debt of distressed companies. Concepts about credit risk (PD, EAD, LGD rating) and main structural models (Merton, black and cox, Leland) are described finally, a model that exploits intuitions of KMV and the functioning of exotic options with barrier is built and applied to the Stefanel case
ECONOMICS AND FINANCE
2016-06-17
Merton, default probability, barrier option
Buttignon, Fabio
Lauree magistrali
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Utilizza questo identificativo per citare o creare un link a questo documento: https://hdl.handle.net/20.500.12608/27784