Distance to Default Estimates for Romanian Listed Companies

Alina Sima (Grigore) and Alin Sima
Additional contact information
Alina Sima (Grigore): Academia de Studii Economice / Facultatea de Finante, Asigurari, Banci si Burse de Valori
Alin Sima: Academia de Studii Economice / Facultatea de Finante, Asigurari, Banci si Burse de Valori

The Review of Finance and Banking, 2011, vol. 03, issue 2, 091-106

Abstract: This paper assesses the evolution of the distance to default during the recent crisis for some of the most traded companies on Bucharest Stock Exchange.The distance to default is formulated under the framework of the structural model of Leland (1994b) where the default threshold is endogenously determined. This model is reformulated as a (non-linear) state - space model where the (unobservable) state variable is the distance to default. After reviewing different methods proposed in the literature for estimation of the structural models, we estimate the model's parameters within the Bayesian approach with Markov Chain Monte Carlo (MCMC) methods.

Date: 2011
References: View references in EconPapers View complete reference list from CitEc
Citations:

Downloads: (external link)
http://www.rfb.ase.ro/articole/P3.pdf Full text (application/pdf)

Related works:
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link: https://EconPapers.repec.org/RePEc:rfb:journl:v:03:y:2011:i:2:p:091-106

Access Statistics for this article

The Review of Finance and Banking is currently edited by Victor Dragota; Bogdan Negrea

More articles in The Review of Finance and Banking from Academia de Studii Economice din Bucuresti, Romania / Facultatea de Finante, Asigurari, Banci si Burse de Valori / Catedra de Finante Strada Mihai Eminescu nr.13-15, sector 1, Bucuresti, Romania. Contact information at EDIRC.
Bibliographic data for series maintained by Tatu Lucian ().