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Default Risk of Corporate Bonds: An Analysis of German Small and Medium-Sized Enterprises
Jönköping University, Jönköping International Business School, JIBS, Business Administration.
Jönköping University, Jönköping International Business School, JIBS, Business Administration.
2015 (English)Independent thesis Advanced level (degree of Master (One Year)), 10 credits / 15 HE creditsStudent thesis
Abstract [en]

This research has the aim to analyze the German bond market for small and medium sized com-panies regarding their default risk. The background is that in 2012 and 2013 many companies went bankrupt and defaulted on their issued bonds. In order to predict the default probability and to develop ratings, this research uses two models, namely the Logit model and the Merton model. The outcomes of the applied models differ from the ratings given by the agencies. Over-all the obtained results are more negative. Some results are completely contrary among both ap-plied models. Therefore, it is concluded that the models have explanatory power to a certain point, but they need improvements and humans who incorporate soft factors to assure an accu-rate rating.

Place, publisher, year, edition, pages
2015. , 60 p.
Keyword [en]
German SME bonds, bond risk, default, Logit model, Merton model
National Category
Business Administration
Identifiers
URN: urn:nbn:se:hj:diva-26837ISRN: JU-IHH-FÖA-2-20150001OAI: oai:DiVA.org:hj-26837DiVA: diva2:815138
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Available from: 2015-06-02 Created: 2015-05-29 Last updated: 2015-06-02Bibliographically approved

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