Tid: 4 mars 1999 kl 1015-1100 (OBS! Tiden och dagen)
Plats : Seminarierummet 3733, Institutionen för matematik, KTH, Lindstedts väg 25, plan 7. Karta!
Föredragshållare: Anders Larnholt
Titel: An alternative approach to estimating default probabilities in credit risks. (Examensarbete)
The objective of this talk is to show an alternative way of evaluating the risk of potential bankruptcy for a company. The call option model is commonly used to calculate the important parameters needed for the evaluation. It will though be shown, that is is more appropriate to use a perpetual warrant model. The main difference between the two models is that the perpetual warrant is independent of time. To the best of our knowledge, the perpetual warrant has not been used before in connection with credit risks.
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