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Kreditbetyg Vs. Modifierad Merton - En jämförelse av två kreditriskmått

Henriksson, Victor LU (2013) NEKH01 20122
Department 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:
author
Henriksson, Victor LU
supervisor
organization
course
NEKH01 20122
year
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},
  keyword      = {Kreditbetyg,Modifierad Merton,Standard & Poor ́s,Rangkorrelation,Jämförelse},
  language     = {swe},
  note         = {Student Paper},
  title        = {Kreditbetyg Vs. Modifierad Merton - En jämförelse av två kreditriskmått},
  year         = {2013},
}