English, Article edition: A MERTON-MODEL APPROACH TO ASSESSING THE DEFAULT RISK OF UK PUBLIC COMPANIES M. TUDELA; G. YOUNG

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Physical Description
  • article
Language
  • English

Edition details

Title
  • A MERTON-MODEL APPROACH TO ASSESSING THE DEFAULT RISK OF UK PUBLIC COMPANIES
Author
  • M. TUDELA
  • G. YOUNG
Physical Description
  • article
Notes
  • This paper shows how a Merton-model approach can be used to develop measures of the probability of failure of individual quoted UK companies. Probability estimates are then constructed for a group of failed companies and their properties as leading indicators of failure assessed. Probability estimates of failure for a control group of surviving companies are also constructed. These are used in probit regressions to evaluate the information content of the Merton-based estimates relative to information available in company accounts and in assessing Type I and Type II errors. We also look at power curves and accuracy ratios. The paper shows that there is much useful information in the Merton-style estimates.
  • Merton models, corporate failure, default probabilities
  • RePEc:wsi:ijtafx:v:08:y:2005:i:06:p:737-761
Language
  • English
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