𝔖 Bobbio Scriptorium
✦   LIBER   ✦

BANKRUPTCY PREDICTION - AN INVESTIGATION OF CASH FLOW BASED MODELS

✍ Scribed by Abdul Aziz; David C. Emanuel; Gerald H. Lawson


Book ID
110944154
Publisher
John Wiley and Sons
Year
1988
Tongue
English
Weight
836 KB
Volume
25
Category
Article
ISSN
0022-2380

No coin nor oath required. For personal study only.


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A model of credit risk based on cash flo
✍ Marek Capinski πŸ“‚ Article πŸ“… 2007 πŸ› Elsevier Science 🌐 English βš– 617 KB

An extension of the structural Merton's model of risk of default is proposed. It is based on an analysis of possible sources of liquidity problems leading to bankruptcy. Pricing of a debt subject to default risk requires finding a value of an American put option, which is performed by a Monte-Carlo