Análisis de Derechos Contingentes: Aplicación a Casas Comerciales
The Contingent Claim Analysis (CCA) is a useful tool for the risk analysis of listed companies. In this paper, we present the application of CCA to the department-store firms listed on the Chilean stock market. We obtain two main results: (1) the simplified version of distance to default proposed by Byström (2007) works for these firms, and (2) the distance to default found for this group of firms can be related to macroeconomic variables such as unemployment rate, output growth, and interest rate.
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Volume (Year): 13 (2010)
Issue (Month): 1 (April)
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- Ke Wang & Darrell Duffie, 2004.
"Multi-Period Corporate Failure Prediction With Stochastic Covariates,"
Econometric Society 2004 Far Eastern Meetings
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- Felipe Zurita, 2008. "La Predicción de la Insolvencia de Empresas Chilenas," Documentos de Trabajo 336, Instituto de Economia. Pontificia Universidad Católica de Chile..
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"On the Pricing of Corporate Debt: The Risk Structure of Interest Rates,"
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American Finance Association, vol. 29(2), pages 449-70, May.
- Merton, Robert C., 1973. "On the pricing of corporate debt: the risk structure of interest rates," Working papers 684-73., Massachusetts Institute of Technology (MIT), Sloan School of Management.
- Hans Byström, 2003. "Merton for Dummies: A Flexible Way of Modelling Default Risk," Research Paper Series 112, Quantitative Finance Research Centre, University of Technology, Sydney.
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