The effects of the stock market and commodity prices on structural credit risk measures of airline companies

The effects of the stock market and commodity prices on structural credit risk measures of airline companies

This paper sought to identify whether different expected default probabilities (EDPs) measures could be distinguished based on different stock market indices and commodity prices. Three structural credit risk models, namely, Merton (1974), Longstaff and Schwartz (1995) and Leland and Toft (1996) wer...

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Bibliographic Details
Main Authors: Chng, Yuan Fang, Dai, Dan, Tay, Elaine Ee Ling
Other Authors: Lee Hon Sing
Format: Final Year Project (FYP)
Language:English
Published: 2009
Subjects:
DRNTU::Business::Finance::Risk management
Online Access:http://hdl.handle.net/10356/15097

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