AcF 706

: assessing default risk of a public company

Abstract

The dissertation presents the determinants of credit spread, evolution of credit risk modeling and empirically evidence over the period, as well as models based on accounting information. The study explores performance of the firm with accounting and share price information. It also evaluates the predictive of two credit risk models: Merton (1974) and Leland (1994), using accounting and market variables. The finding is that both models tend to underestimate credit risk spreads, though most of the previous literature points out that Leland model usually overestimates credit spread. Further research may focus on market and industrial component of models.

Date of Award	13 Feb 2014
Original language	English
Awarding Institution	Universidade Católica Portuguesa
Supervisor	Mark Shackleton (Supervisor)