Simulation for the estimation of the survival probabilities of enterprises and banks within a prolonged duration of the debt crisis

Costas Kyritsis and Evangelos Hytis

EconStor Conference Papers from ZBW - Leibniz Information Centre for Economics

Abstract: In the current paper, we study the stability and the survival probabilities of enterprises and banks within a prolonged duration of the debt-crisis, with Monte Carlo simulation. We utilize historical data from banks and enterprises within the debt-crisis to define crisis-variability and crisis-average values of input parameters of the simulation. We introduce the concept of equities maximum draw-down as dynamic survival indicator. Finally we estimate the survival probabilities of enterprises and banks within a prolonged duration of the debt crisis.

Keywords: Monte Carlo simulation; Bankruptcy probabilities; Debt-crisis; Bank stability (search for similar items in EconPapers)
JEL-codes: C53 C63 C8 G2 M41 (search for similar items in EconPapers)
Date: 2013-05-23
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Persistent link: https://EconPapers.repec.org/RePEc:zbw:esconf:125610

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