Default Probability Prediction with Static Merton-D-Vine Copula Model
We apply standard Merton and enhanced Merton-D-Vine copula model for the measurement of credit risk on the basis of accounting and stock market data for 4 companies from Prague Stock Exchange, in the midterm horizon of 4 years. Basic Merton structural credit model is based on assumption that firm eq...
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| Format: | Article |
| Language: | English |
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Mendel University, Brno
2015-12-01
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| Series: | European Journal of Business Science and Technology |
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| Online Access: | https://ejobsat.cz/artkey/ejo-201502-0003_default-probability-prediction-with-static-merton-d-vine-copula-model.php |