Kreditbetyg Vs. Modifierad Merton - En jämförelse av två kreditriskmått
(2013) NEKH01 20122Department of Economics
- Abstract
- The purpose of this bachelor ́s thesis is to make a comparison between the two measurements of credit risk ”Distance to default” with a modified Merton model and credit ratings from Standard & Poor ́s. The thesis investigates how well the measures agree with one another by using Spearman ́s rank correlation coefficient. By doing this the thesis is meant to provide the reader with an idea of whether an objective measurement of credit risk, ”Distance to default” with a modified Merton model and Standard & Poor ́s assessment of the creditworthiness of a firm presented in their credit ratings, reaches the same conclusions. The results confirm that the measurements show some correlation. The results show further that the correlation is stronger... (More)
- The purpose of this bachelor ́s thesis is to make a comparison between the two measurements of credit risk ”Distance to default” with a modified Merton model and credit ratings from Standard & Poor ́s. The thesis investigates how well the measures agree with one another by using Spearman ́s rank correlation coefficient. By doing this the thesis is meant to provide the reader with an idea of whether an objective measurement of credit risk, ”Distance to default” with a modified Merton model and Standard & Poor ́s assessment of the creditworthiness of a firm presented in their credit ratings, reaches the same conclusions. The results confirm that the measurements show some correlation. The results show further that the correlation is stronger for the industrial companies in the comparison. (Less)
Please use this url to cite or link to this publication:
http://lup.lub.lu.se/student-papers/record/3365117
- author
- Henriksson, Victor LU
- supervisor
- organization
- course
- NEKH01 20122
- year
- 2013
- type
- M2 - Bachelor Degree
- subject
- keywords
- Kreditbetyg, Modifierad Merton, Standard & Poor ́s, Rangkorrelation, Jämförelse
- language
- Swedish
- id
- 3365117
- date added to LUP
- 2013-02-13 15:51:38
- date last changed
- 2013-02-13 15:51:38
@misc{3365117, abstract = {{The purpose of this bachelor ́s thesis is to make a comparison between the two measurements of credit risk ”Distance to default” with a modified Merton model and credit ratings from Standard & Poor ́s. The thesis investigates how well the measures agree with one another by using Spearman ́s rank correlation coefficient. By doing this the thesis is meant to provide the reader with an idea of whether an objective measurement of credit risk, ”Distance to default” with a modified Merton model and Standard & Poor ́s assessment of the creditworthiness of a firm presented in their credit ratings, reaches the same conclusions. The results confirm that the measurements show some correlation. The results show further that the correlation is stronger for the industrial companies in the comparison.}}, author = {{Henriksson, Victor}}, language = {{swe}}, note = {{Student Paper}}, title = {{Kreditbetyg Vs. Modifierad Merton - En jämförelse av två kreditriskmått}}, year = {{2013}}, }