Default Probabilities and the Credit Spread of Mexican Companies: The Modified Merton Model

Autor:	Paula Morales-Bañuelos, Guillermo Fernández-Anaya
Jazyk:	angličtina
Rok vydání:	2023
Předmět:	Merton model Brownian model Power Law Brownian Motion model Bloomberg default frequencies Expected Default Frequencies Conformable Derivates Mathematics QA1-939
Zdroj:	Mathematics, Vol 11, Iss 20, p 4397 (2023)
Druh dokumentu:	article
ISSN:	11204397 2227-7390
DOI:	10.3390/math11204397
Popis:	This study aims to identify the model that best approximates the credit spread that should be fixed on debt instruments issued by both companies listed on the Mexican Stock Market, considering the particularities of the Mexican market. Five models were analyzed: Merton’s model, Brownian Motion Model, Power Law Brownian Motion Model, Bloomberg’s model, and the model presented in this paper, which includes the conformable derivatives, taking as a reference the change in the variable as other authors have done, and the Bloomberg corporate default risk model (DRSK) for publics firms. We concluded that the modified Merton model approximates, to a greater extent, the credit spreads that fix on a prime rate on the loans granted to Mexican non-financial companies.
Databáze:	Directory of Open Access Journals
Externí odkaz:	https://doaj.org/article/d81f70b2318e40cd9073c32b3247619c Zobrazit plný text záznamu View record in DOAJ Plný text ve formátu PDF Plný text ve formátu HTML
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