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 caseFile in questo prodotto:
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Utilizza questo identificativo per citare o creare un link a questo documento:
https://hdl.handle.net/20.500.12608/27784