Ověření možnosti odhadu pravděpodobnosti defaultu vybraných společností na základě Mertonova modelu

Abstract

The main aim of the master thesis is a verification of the default probability estimation possibility of the selected companies via Merton model. Master thesis is divided into five parts, including an introduction and conclusion. In second chapter are described methodology and theoretical background of the issue. Closer are characterized Merton model and stochastic processes. Third chapter deals with description of used dataset. Fourth chapter is divided into two parts. Firstly, for 16 selected companies is estimated historical probability of default, which is then compared with real rating, that was given to selected companies by external rating agency. In the second part is a prediction of possible development of default probability for three selected companies to February 27th, 2016.