By Gunter Loeffler, Peter N. Posch
I purchased this e-book a month in the past. authors defined every thing in a lot more straightforward demeanour utilizing excel spreadsheet. although, they need to have extra extra fabrics on subject matters relating to CDOs and CDS.
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Additional info for Credit Risk Modeling using Excel and VBA (The Wiley Finance Series)
11 how the Pseudo-R2 of our logit regression depends on the type of data treatment. 5%. This is a handsome improvement, but taking logarithms of ME/TL is much more important: the Pseudo-R2 subsequently jumps to around 34%. And one can do even better by using the original data and taking the logarithm of ME/TL rather than winsorizing first and then taking the logarithm. We could go on and take the logarithm of the other variables. We will not present details on this, but instead just mention how this could be accomplished.
It may be safe to ignore such interim payments over a horizon of one year. A one-year bond with annual coupon payments is in fact a zero-coupon bond, and firms usually do not pay out large dividends shortly before default. However, for a horizon of several years, interim payments should enter our valuation formula in a consistent way. In the following, we will implement such an approach. It maintains the set-up of the Merton model in the sense that there is only one date at which liabilities are due.
What does the graph tell us? Apparently, it is only for very low values of ME/TL that a change in this variable impacts default risk. Above the 20th percentile, there are many ranges with zero default rates, and the ones that see defaults are scattered in a way that does not suggest any systematic relationship. 5 to 60. This is perfectly in line with the results of the previous section where we saw that taking the logarithm of ME/TL greatly improves the fit relative to a regression in which ME/TL entered linearly.