Revisit on the Option Pricing Approach : Comparison of Method of Solutions-Stability and Accuracy

DOI Web Site 15 References

Bibliographic Information

Other Title
  • 信用リスクのオプションアプローチ再訪 : 推計/設定方法による特徴と精度比較
  • シンヨウ リスク ノ オプションアプローチ サイホウ スイケイ セッテイ ホウホウ ニ ヨル トクチョウ ト セイド ヒカク

Search this article

Abstract

The option-pricing approach is fruitfully accepted as the tool for credit risk evaluation, and numbers of papers were issued by academic researchers and practitioners as well. It is required to estimate several parameters to obtain the probability of default, however, there is no standard method of solutions, and the limited number of studies is available for the comparisons and evaluations of stability and accuracy of solutions. This paper deals with popular seven methods of solutions, and compared them from the view points of accuracy and stability. We found that the growth rate of the asset is not a significant parameter for the accuracy of capturing of default samples, but it is effective to stabilize the estimated probability of default. On the other hand, the method of estimation for the asset volatility gives a significant impact on the results. The method to employ the relationship between equity value and asset value shows a better performance to capture the default samples rather than the method to calculate the asset volatility from the calculated path of asset values. We also examine the impact to the results by the structure of liability between current and long-term. We found that the structure of liability gives a limited impact to the accuracy and stability, however, it will be recommended to take the long-term liability into consideration as long as it is used for an early warning indicator.

Journal

References(15)*help

See more

Related Projects

See more

Keywords

Details 詳細情報について

Report a problem

Back to top