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Simulation for the estimation of the survival probabilities of enterprises and banks within a prolonged duration of the debt crisis

Author

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  • Kyritsis, Costas
  • Hytis, Evangelos

Abstract

In the current paper, we study the stability and the survival probabilities of enterprises and banks within a prolonged duration of the debt-crisis, with Monte Carlo simulation. We utilize historical data from banks and enterprises within the debt-crisis to define crisis-variability and crisis-average values of input parameters of the simulation. We introduce the concept of equities maximum draw-down as dynamic survival indicator. Finally we estimate the survival probabilities of enterprises and banks within a prolonged duration of the debt crisis.

Suggested Citation

  • Kyritsis, Costas & Hytis, Evangelos, 2013. "Simulation for the estimation of the survival probabilities of enterprises and banks within a prolonged duration of the debt crisis," EconStor Conference Papers 125610, ZBW - Leibniz Information Centre for Economics.
    • Handle: RePEc:zbw:esconf:125610
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    File URL: https://www.econstor.eu/bitstream/10419/125610/3/TEI%20of%20Athens%203th%20ICQQMEAS%20%282013%29.pdf
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    More about this item

    Keywords

    Monte Carlo simulation; Bankruptcy probabilities; Debt-crisis; Bank stability;
    All these keywords.

    JEL classification:

    • C63 - Mathematical and Quantitative Methods - - Mathematical Methods; Programming Models; Mathematical and Simulation Modeling - - - Computational Techniques
    • C53 - Mathematical and Quantitative Methods - - Econometric Modeling - - - Forecasting and Prediction Models; Simulation Methods
    • C8 - Mathematical and Quantitative Methods - - Data Collection and Data Estimation Methodology; Computer Programs
    • G2 - Financial Economics - - Financial Institutions and Services
    • M41 - Business Administration and Business Economics; Marketing; Accounting; Personnel Economics - - Accounting - - - Accounting

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