Market Microstructure Effects on Firm Default Risk Evaluation
نویسندگان
چکیده
منابع مشابه
Market Microstructure Effects on Firm Default Risk Evaluation
Default probability is a fundamental variable determining the credit worthiness of a firm and equity volatility estimation plays a key role in its evaluation. Assuming a structural credit risk modeling approach, we study the impact of choosing different non parametric equity volatility estimators on default probability evaluation, when market microstructure noise is considered. A general stocha...
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China has moved rapidly from a socialist planned economy to a market economy. As a result, many enterprises in China are seeking talented top management to increase their performance and decrease their default risk. Studies abound regarding top management turnover and its relationship with firm performance, however, few studies have connected top management turnover with firm default risk. In C...
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This paper presents a theoretical model of default risk in the context of the ``market'' model approach to interest rate dynamics. We propose a model for ®nite-interval interest rates (such as LIBOR) which explicitly takes into account the possibility of default through the in ̄uence of a point process with deterministic intensity. We relate the defaultable interest rate to the non-defaultable i...
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In this paper a new credit risk model for credit derivatives is presented. The model is based upon the ‘Libor market’ modelling framework for default-free interest rates. We model effective default-free forward rates and effective forward credit spreads as lognormal diffusion processes, and recovery is modelled as a fraction of the par value of the defaulted claim. The newly introduced survival...
متن کاملMarket Microstructure
• Amihud, Mendelson and Murgia (1990) studied the impact of the stock market microstructure on return volatility and on the value discovery process in the Milan Stock Exchange; the primary trading mechanism employed by this exchange is a call market, which is usually preceded and followed by trading in a continuous market. They found that the opening transaction in the continuous market had the...
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ژورنال
عنوان ژورنال: Econometrics
سال: 2016
ISSN: 2225-1146
DOI: 10.3390/econometrics4030031