文章基本信息

标题：Predicting probability of default of Indian companies: A market based approach
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作者：Singh, Bhanu Pratap ; Mishra, Alok Kumar
期刊名称：Theoretical and Applied Economics
印刷版ISSN：1841-8678
电子版ISSN：1844-0029
出版年度：2016
卷号：XXII(2016)
期号：3(608), Autumn
页码：197-204
出版社：Asociatia Generala a Economistilor din Romania - AGER
摘要：The paper models default probabilities for Indian companies in Black-Scholes- Metron (BSM) framework. The objective Probability of Default (PD) estimates are found to be higher for firms registered with Board of Industrial and Financial Reconstruction (BIFR). The proposed method can be applied to obtain direct PD estimates of companies to track their default status, calculate credit capital and corporate pricing by investors and financial institutions.
关键词：Credit Risk; BSM Model; Indian Companies; Probability of Default.