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Tesi etd-02032019-145120


Thesis type
Tesi di laurea magistrale
Author
ANTICO, ANDREA
URN
etd-02032019-145120
Title
The Credit Risk in the Pharmaceutical Sector: a Comparison Between EU and US
Struttura
ECONOMIA E MANAGEMENT
Corso di studi
ECONOMICS
Commissione
relatore Prof. Bottazzi, Giulio
Parole chiave
  • Pharmaceutics
  • Merton
  • Measure theory
  • First hitting time
  • Credit risk
  • Brownian motion
  • Biotechnology
  • Basel
  • Probability of default
  • SDE
Data inizio appello
26/02/2019;
Consultabilità
secretata d'ufficio
Data di rilascio
26/02/2022
Riassunto analitico
This work aims at assessing the credit risk in the pharmaceutical sector, which shows asset values that are relatively stable over time, for publicly traded companies in Europe and the United States. This comparison helps understand the difference in credit risk between the two areas for that particular sector, and see whether the difference is significant. Among many implications, indeed, if an economic area presents a lower degree of credit risk, this may translate to a higher easiness in attracting investors, or in the access to credit.
The work is articulated as follows: In chapter one, credit risk concepts and the Basel II framework are briefly introduced;
In chapter two, the mathematical instruments to deriving the model being used for the computation of the probabilities of default are discussed; In chapter three, the model for the calculation of the aforementioned probabilities is derived. Furthermore, the accuracy of the estimators is deeply analyzed; In chapter four, data from the market are processed and the results for the pharmaceutic industry are discussed, paying attention to a possible size effect and geographical effect. Statistical significance is tested by means of a dummy variable.
In chapter five, a further comparison with the biotechnology sector is carried out.
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