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forecasting default with the merton distance to default model

forecasting default with the merton distance to default model

ID：7288758

大小：203.50 KB

页数：31页

时间：2018-02-10

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1、ForecastingDefaultwiththeMertonDistancetoDefaultModelSreedharT.BharathRossSchoolofBusiness,UniversityofMichiganTylerShumwayDownloadedfromRossSchoolofBusiness,UniversityofMichiganWeexaminetheaccuracyandcontributionoftheMertondistancetodefault(DD)model,whichisbasedonMertons(1974)bondpric

2、ingmodel.Wecomparethemodeltoana¨ıvealternative,whichusesthefunctionalformsuggestedbytheMertonmodelbutdoesnothttp://rfs.oxfordjournals.org/solvethemodelforanimpliedprobabilityofdefault.Wefindthatthena¨ıvepredictorper-formsslightlybetterinhazardmodelsandinout-of-sampleforecaststhanboththe

3、MertonDDmodelandareduced-formmodelthatusesthesameinputs.Severalotherforecastingvariablesarealsoimportantpredictors,andfittedvaluesfromanexpandedhazardmodeloutperformMertonDDdefaultprobabilitiesoutofsample.Implieddefaultprobabilitiesfromcreditdefaultswapsandcorporatebondyieldspreadsareon

4、lyweaklycorrelatedwithMertonDDprobabilitiesafteradjustingforagencyratingsandbondcharacteristics.WeconcludethatwhiletheMertonDDmodeldoesnotproduceasufficientstatisticfortheprob-abilityofdefault,itsfunctionalformisusefulforforecastingdefaults.(JELG12,G13,G33)atNorthwesternUniversityLibrar

5、yonJanuary11,20131.IntroductionDuetotheadventofinnovativecorporatedebtproductsandcreditderivatives,academicsandpractitionershaverecentlyshownrenewedinterestinmodelsthatforecastcorporatedefaults.Oneinnovativeforecastingmodel,whichhasbeenwidelyappliedinbothacademicresearch1andpractice,is

6、aparticularapplicationofMerton(1974)thatwasdevelopedbytheproprietorsoftheKMVcorporation.2WerefertothismodelastheMertondistancetodefaultmodel,PreviouslycirculatedwiththetitleForecastingDefaultwiththeKMV-MertonModel.Thisresearchwassup-portedbytheNTTfellowshipoftheMitsuiLifeCenterattheRos

7、sSchoolofBusiness,UniversityofMichigan.WethankseminarparticipantsatMichigan,BostonCollege,IndianSchoolofBusiness,Moodys2006CreditRiskConference,andStanford.WealsothankBillBeaver,JeffBohn,DarrellDuffie,EricFalkenstein,WayneFerson,RaviJagannathan,KyleLundstedt,KenSingleton,andJorgeSobeh

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