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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- Darrell Duffie & Ke Wang, 2004.
"Multi-Period Corporate Failure Prediction with Stochastic Covariates,"
NBER Working Papers
10743, National Bureau of Economic Research, Inc.
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684-73., Massachusetts Institute of Technology (MIT), Sloan School of Management.
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