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Public EDF Model for Default Risk Analysis

The document questions the effectiveness of Book Value in assessing a company's asset worth. It presents a mathematical model related to default probabilities over time. The focus is on exploring alternative methods for asset valuation.

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Xi Wei
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17 views30 pages

Public EDF Model for Default Risk Analysis

The document questions the effectiveness of Book Value in assessing a company's asset worth. It presents a mathematical model related to default probabilities over time. The focus is on exploring alternative methods for asset valuation.

Uploaded by

Xi Wei
Copyright
© All Rights Reserved
We take content rights seriously. If you suspect this is your content, claim it here.
Available Formats
Download as PDF, TXT or read online on Scribd

‎ ‎



‎
Is there a better way than
Book Value to determine
what a company’s assets are
worth?
‎
‎
Default t=1
1

t=0 Default t=2


12

1 1

Default t=3
t=1 23

1 12

t=2

1 23
Survival Probability through t=3

3
1 3 = 1 1 1 12 1 23
‎
‎
,

μ
2
2 0
r 0 ln + T
ln + T 2
2

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