The effects of the stock market and commodity prices on structural credit risk measures of airline companies

• المؤلفون الرئيسيون: Chng, Yuan Fang, Dai, Dan, Tay, Elaine Ee Ling
• مؤلفون آخرون: Lee Hon Sing
• التنسيق: Final Year Project
• اللغة: English
• منشور في: 2009
• الموضوعات: DRNTU::Business::Finance::Risk management
• الوصول للمادة أونلاين: http://hdl.handle.net/10356/15097

This paper sought to identify whether different expected default probabilities (EDPs) measures could be distinguished based on different stock market indices and commodity prices. Three structural credit risk models, namely, Merton (1974), Longstaff and Schwartz (1995) and Leland and Toft (1996) wer...