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Archivio digitale delle tesi discusse presso l’Università di Pisa

Tesi etd-02092014-215203


Tipo di tesi
Tesi di laurea magistrale
Autore
PULLANO, ROBERTA
URN
etd-02092014-215203
Titolo
Distance to Default as a Predictor of Financial Distress
Dipartimento
ECONOMIA E MANAGEMENT
Corso di studi
SCIENZE ECONOMICHE
Relatori
relatore Prof. Bottazzi, Giulio
Parole chiave
  • contingent claims analysis
  • credit risk
  • expected default frequency
  • financial ratios
  • merton's model
  • naive model
  • option pricing
  • probit models
Data inizio appello
28/02/2014
Consultabilità
Completa
Riassunto
Probit models, which adopt both accounting and market information, have
become one of the most suitable statistical method in forecasting a firm's default.
Comparing Merton's Structural model with the Naive alternative approach
suggested by Bharath and Schumway (2008), my work shows that the Naive
predictor, in spite of its simple formulation, has a strong forecasting power.
The latter retains Merton's functional form but avoids the most criticised
aspect of Merton's model: the simultaneous calculation of unobservable variables.
Using a dataset of publicly traded Italian firms between 1990 and
2011, a probit estimation shows that Merton's distance to default is not a
sufficient statistic to predict a firm's financial distress. Data analysis underlines
the similarity in distribution of the main components of Merton's and
Naive models and the strong correlation between them. However, Merton's
functional form and market-based approach remain relevant in credit-risk
models.
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