The effect of stock market and commodity prices on structural credit risk measures of oil companies

• Main Authors: Lim, Kia Ying, Er, Jasmine Jie Min, Ong, Hui Juan
• 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/10356/15249
• Institution: Nanyang Technological University

This paper studied the extent the idiosyncrasies of some expected default probability (EDP) measures can be explained by the idiosyncrasies of the returns on market index, industry index and commodity prices. Standard & Poor’s 500 (S&P 500), Chicago Board Options Exchange (CBOE)’s OIX index...