Un modelo de riesgo de credito basado en opciones compuestas con barrera. Aplicacion al mercado continuo espanol

Maria Carmen Badia Batlle, M. Mercedes Galisteo Rodriguez and M. Teresa Preixens Benedicto
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M. Teresa Preixens Benedicto: Universitat de Barcelona

No 156, Working Papers in Economics from Universitat de Barcelona. Espai de Recerca en Economia

Abstract: In this work the valuation methodology of compound option written on a downand-out call option, developed by Ericsson and Reneby (2003), has been applied to deduce a credit risk model. It is supposed that the firm has a debt structure with two maturity dates and that the credit event takes place when the assets firm value falls under a determined level called barrier. An empirical application of the model for 105 firms of Spanish continuous market is carried out. For each one of them its value in the date of analysis, the volatility and the critical value are obtained and from these, the default probability to short and long-term and the implicit probability in the two previous probabilities are deduced. The results are compared with the ones obtained from the Geske model (1977).

JEL-codes: G13 G33 (search for similar items in EconPapers)
Pages: 35 pages
Date: 2006
New Economics Papers: this item is included in nep-ban, nep-fin and nep-fmk
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