The effects of the stock market and commodity prices on structural credit risk measures of airline companies

• Main Authors: Chng, Yuan Fang, Dai, Dan, Tay, Elaine Ee Ling
• Other Authors: Lee Hon Sing
• Format: Final Year Project
• Language: English
• Published: 2009
• Subjects: DRNTU::Business::Finance::Risk management
• Online Access: http://hdl.handle.net/10356/15097
• Institution: Nanyang Technological University

This paper sought to identify whether different expected default probabilities (EDPs) measures could be distinguished based on different stock market indices and commodity prices. Three structural credit risk models, namely, Merton (1974), Longstaff and Schwartz (1995) and Leland and Toft (1996) wer...