Question
concerned with estimating credit risk. First select a FTSE 100 company - make sure it is one for which there are actively traded CDS contracts
concerned with estimating credit risk. First select a FTSE 100 company - make sure it is one for which there are actively traded CDS contracts or asset swaps for which you can get data on the spread.
You are required to construct two time series of default probabilities. One based on the CDS (or asset) spread and another based on Mertons method.
You may do this in excel
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International Financial Management
Authors: Geert Bekaert, Robert Hodrick
3rd edition
1107111820, 110711182X, 978-1107111820
