The Risks Neutral Probability of Default - Accounting Assignment Help
- Country :
India
Assignment Task
Task
Q No 1: Choose any three firms of your choice and implement the Structural model (Merton model) to estimate the following: (a) Value of asset (b) Volatility of asset (c) The risk neutral probability of default (d) Distance to default
Q No 2: Choose any two stocks whose options are traded in a market. Take historical data of the stocks for at least last 5 years and implement the VaR of the option for remaining expiry of 18 days using the following models: a. Monte Carlo Simulation approach b. Delta approximation approach c. Delta-Gamma approximation approach
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