CORPORATE DEFAULT RISK ACROSS INDUSTRIES: A STRUCTURAL APPROACH ON COMPANIES LISTED ON ROMANIAN STOCK EXCHANGE
Supp/2008 , p266..277
Author(s):
Cristina Maria TRIANDAFIL
Petre BREZEANU
Keywords:
Distance to default, default point, industry impact
Abstract:
This paper focuses on applying Black and Scholes structural approach on credit risk in the case of the companies listed on Romanian Stock Exchange. We conduct a study on 35 companies belonging to 5 industries (energetic, materials, chemistry, pharmaceuticals, equipments) over a period of 10 years in order to highlight default point/threshold and its essential factors evolution across industries. Research approach is concentrated also on the specific characteristics of the Romanian capital market (especially in terms of illiquidity and lack of transparency additional costs), macroeconomic environment and corporate finance decision process. We compute default point from the perspective of the arbitrage between assets and leverage; in accordance with the most recent theories on specific features corporate default within emerging countries (Galytskyy, 2006), a key element will be represented by the assets volatility which will be correlated with the country risk premium in order to highlight a potential macroeconomic impact on corporate failure.
Download:
Back
|
|