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by murtin1
June 29th, 2007, 1:13 pm
Forum: Student Forum
Topic: Could someone give some help about forecasting the beta of stocks?
Replies: 13
Views: 72062

Could someone give some help about forecasting the beta of stocks?

<t>Hi all,I would recommend looking at the work the guys do @ Barra.In short they estimate a beta (in light of the discussion I think an equity beta) based on a set of market and fundamental indicators.Pioneered by Barr Rosenberg, try looking for some of his original papers.I think you will find the...
by murtin1
June 29th, 2007, 12:55 pm
Forum: Student Forum
Topic: Actual or risk neutral probability?
Replies: 5
Views: 71482

Actual or risk neutral probability?

<t>Hmmm...Looking through the Hull book, I would be tempted to go for option risk neutral.The following quote (p. 491 6th edition): "CreditGrades use Merton's model to estimate credit spreads, which are closely linked to risk neutral probabilities."However, this does not yet give me a definitive ans...
by murtin1
June 29th, 2007, 12:55 pm
Forum: Student Forum
Topic: Actual or risk neutral probability?
Replies: 5
Views: 71482

Actual or risk neutral probability?

<t>Hmmm...Looking through the Hull book, I would be tempted to go for option risk neutral.The following quote (p. 491 6th edition): "CreditGrades use Merton's model to estimate credit spreads, which are closely linked to risk neutral probabilities."However, this does not yet give me a definitive ans...
by murtin1
June 6th, 2007, 11:55 am
Forum: Student Forum
Topic: Actual or risk neutral probability?
Replies: 5
Views: 71482

Actual or risk neutral probability?

Dear all,Could someone help me out by telling me if the default probabilities Credit Grades calculates are actual or risk neutral default probabilities.Please provide some additional references if possible.Kind regards,Michal
by murtin1
July 15th, 2005, 3:12 pm
Forum: Student Forum
Topic: Structural credit modelling and perpetual risky coupon bond
Replies: 0
Views: 141935

Structural credit modelling and perpetual risky coupon bond

<t>Browsing through the original Merton (1973) paper on the pricing of corporate debt, I stumbled across a section on the valuation of perpetual, risky, coupon paying, non-callable bonds.Merton suggest a formula containing "the Gamma function" and "the confluent hypergeometric function". This does n...