Evaluating the default probabilities of the automotive industry using EBIT-based structural models
Autor(a) principal: | |
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Data de Publicação: | 2019 |
Tipo de documento: | Dissertação |
Idioma: | eng |
Título da fonte: | Repositório Científico de Acesso Aberto de Portugal (Repositórios Cientìficos) |
Texto Completo: | http://hdl.handle.net/10400.14/29145 |
Resumo: | This thesis implements the static EBIT-Based structural model proposed by Goldstein, Ju, & Leland (2001) to compute the default probabilities of 17 firms from the automotive industry. Following other papers (e.g. Eisdorfer, Goyal, & Zhdanov (2019)), this thesis also adapts our base model for the possibility of non-financial fixed costs, which are proxied by SG&A. The before mentioned models are calibrated using the Vassalou and Xing (2004) iterative approach, first used to calibrate the Merton (1974) model. The algorithm was adapted for the case with corporate payouts. Using a sample period of 12 years, this thesis shows how the default probabilities fluctuate across time in different geographies. The static Goldstein, Ju, & Leland (2001) leads to an average 5-year default probability of 2.38%. In contrast, the newly prosed model with fixed costs proxied by SG&A leads to an average 5-year default probability of 15.46%. Comparing these results with credit rating implied default probabilities of 3.42% shows that the later model’s estimates are high. This thesis concludes that, though widely used in the literature, the use of SG&A as a proxy for fixed costs leads to seemingly unreasonable high default probabilities. Its use as a proxy for fixed non-financial costs is thus questionable. |
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Evaluating the default probabilities of the automotive industry using EBIT-based structural modelsSturtural modelEBITAutomotive industryDefaultProbability fixed costDomínio/Área Científica::Ciências Sociais::Economia e GestãoThis thesis implements the static EBIT-Based structural model proposed by Goldstein, Ju, & Leland (2001) to compute the default probabilities of 17 firms from the automotive industry. Following other papers (e.g. Eisdorfer, Goyal, & Zhdanov (2019)), this thesis also adapts our base model for the possibility of non-financial fixed costs, which are proxied by SG&A. The before mentioned models are calibrated using the Vassalou and Xing (2004) iterative approach, first used to calibrate the Merton (1974) model. The algorithm was adapted for the case with corporate payouts. Using a sample period of 12 years, this thesis shows how the default probabilities fluctuate across time in different geographies. The static Goldstein, Ju, & Leland (2001) leads to an average 5-year default probability of 2.38%. In contrast, the newly prosed model with fixed costs proxied by SG&A leads to an average 5-year default probability of 15.46%. Comparing these results with credit rating implied default probabilities of 3.42% shows that the later model’s estimates are high. This thesis concludes that, though widely used in the literature, the use of SG&A as a proxy for fixed costs leads to seemingly unreasonable high default probabilities. Its use as a proxy for fixed non-financial costs is thus questionable.Esta tese implementa o modelo estrutural proposto por Goldstein, Ju, & Leland (2001) (versão estática), o qual é baseado no resultado operacional da empresa, para calcular as probabilidades de incumprimento de 17 empresas da indústria automóvel. Seguindo outros artigos (ex. Eisdorfer, Goyal, & Zhdanov (2019)), esta tese também adapta este modelo para a possibilidade de custos fixos não financeiros, que são aproximados pelos custos gerais e administrativos (ou SG&A). Os modelos acima mencionados são calibrados utilizando a abordagem iterativa de Vassalou e Xing (2004), a qual foi desenvolvida com vista a calibrar o modelo de Merton (1974). O algoritmo foi adaptado para aos stakeholders. Utilizando um período amostral de 12 anos, esta tese mostra como as probabilidades de incumprimento variam ao longo do tempo em diferentes geografias. A versão estática do modelo de Goldstein, Ju, & Leland (2001) conduz a uma probabilidade de incumprimento média de 5 anos de 2.38%. Em contraste, o novo modelo proposto com custos fixos aproximados pelos custos gerais e administrativos conduz a uma probabilidade média de incumprimento a 5 anos de 15.46%. A comparação destes resultados com as probabilidades de incumprimento implícitas nos ratings de risco de crédito, cuja média é 3.42%, mostram que as estimativas do segundo modelo são elevadas. Esta tese conclui que, embora os custos gerais e administrativos sejam amplamente utilizados na literatura como proxy para os custos fixos das empresas, a sua utilização conduz a probabilidades de incumprimento aparentemente elevadas e irrazoáveis. A utilização desta proxy pela literatura é portanto questionável.Silva, Nuno Ricardo Raimundo Rodrigues Marques daVeritati - Repositório Institucional da Universidade Católica PortuguesaElhanaoui, Azeddine2020-01-09T08:55:37Z2019-10-102019-10-10T00:00:00Zinfo:eu-repo/semantics/publishedVersioninfo:eu-repo/semantics/masterThesisapplication/pdfhttp://hdl.handle.net/10400.14/29145TID:202301281enginfo:eu-repo/semantics/openAccessreponame:Repositório Científico de Acesso Aberto de Portugal (Repositórios Cientìficos)instname:Agência para a Sociedade do Conhecimento (UMIC) - FCT - Sociedade da Informaçãoinstacron:RCAAP2023-07-12T17:34:40Zoai:repositorio.ucp.pt:10400.14/29145Portal AgregadorONGhttps://www.rcaap.pt/oai/openaireopendoar:71602024-03-19T18:23:24.137749Repositório Científico de Acesso Aberto de Portugal (Repositórios Cientìficos) - Agência para a Sociedade do Conhecimento (UMIC) - FCT - Sociedade da Informaçãofalse |
dc.title.none.fl_str_mv |
Evaluating the default probabilities of the automotive industry using EBIT-based structural models |
title |
Evaluating the default probabilities of the automotive industry using EBIT-based structural models |
spellingShingle |
Evaluating the default probabilities of the automotive industry using EBIT-based structural models Elhanaoui, Azeddine Sturtural model EBIT Automotive industry Default Probability fixed cost Domínio/Área Científica::Ciências Sociais::Economia e Gestão |
title_short |
Evaluating the default probabilities of the automotive industry using EBIT-based structural models |
title_full |
Evaluating the default probabilities of the automotive industry using EBIT-based structural models |
title_fullStr |
Evaluating the default probabilities of the automotive industry using EBIT-based structural models |
title_full_unstemmed |
Evaluating the default probabilities of the automotive industry using EBIT-based structural models |
title_sort |
Evaluating the default probabilities of the automotive industry using EBIT-based structural models |
author |
Elhanaoui, Azeddine |
author_facet |
Elhanaoui, Azeddine |
author_role |
author |
dc.contributor.none.fl_str_mv |
Silva, Nuno Ricardo Raimundo Rodrigues Marques da Veritati - Repositório Institucional da Universidade Católica Portuguesa |
dc.contributor.author.fl_str_mv |
Elhanaoui, Azeddine |
dc.subject.por.fl_str_mv |
Sturtural model EBIT Automotive industry Default Probability fixed cost Domínio/Área Científica::Ciências Sociais::Economia e Gestão |
topic |
Sturtural model EBIT Automotive industry Default Probability fixed cost Domínio/Área Científica::Ciências Sociais::Economia e Gestão |
description |
This thesis implements the static EBIT-Based structural model proposed by Goldstein, Ju, & Leland (2001) to compute the default probabilities of 17 firms from the automotive industry. Following other papers (e.g. Eisdorfer, Goyal, & Zhdanov (2019)), this thesis also adapts our base model for the possibility of non-financial fixed costs, which are proxied by SG&A. The before mentioned models are calibrated using the Vassalou and Xing (2004) iterative approach, first used to calibrate the Merton (1974) model. The algorithm was adapted for the case with corporate payouts. Using a sample period of 12 years, this thesis shows how the default probabilities fluctuate across time in different geographies. The static Goldstein, Ju, & Leland (2001) leads to an average 5-year default probability of 2.38%. In contrast, the newly prosed model with fixed costs proxied by SG&A leads to an average 5-year default probability of 15.46%. Comparing these results with credit rating implied default probabilities of 3.42% shows that the later model’s estimates are high. This thesis concludes that, though widely used in the literature, the use of SG&A as a proxy for fixed costs leads to seemingly unreasonable high default probabilities. Its use as a proxy for fixed non-financial costs is thus questionable. |
publishDate |
2019 |
dc.date.none.fl_str_mv |
2019-10-10 2019-10-10T00:00:00Z 2020-01-09T08:55:37Z |
dc.type.status.fl_str_mv |
info:eu-repo/semantics/publishedVersion |
dc.type.driver.fl_str_mv |
info:eu-repo/semantics/masterThesis |
format |
masterThesis |
status_str |
publishedVersion |
dc.identifier.uri.fl_str_mv |
http://hdl.handle.net/10400.14/29145 TID:202301281 |
url |
http://hdl.handle.net/10400.14/29145 |
identifier_str_mv |
TID:202301281 |
dc.language.iso.fl_str_mv |
eng |
language |
eng |
dc.rights.driver.fl_str_mv |
info:eu-repo/semantics/openAccess |
eu_rights_str_mv |
openAccess |
dc.format.none.fl_str_mv |
application/pdf |
dc.source.none.fl_str_mv |
reponame:Repositório Científico de Acesso Aberto de Portugal (Repositórios Cientìficos) instname:Agência para a Sociedade do Conhecimento (UMIC) - FCT - Sociedade da Informação instacron:RCAAP |
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Agência para a Sociedade do Conhecimento (UMIC) - FCT - Sociedade da Informação |
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RCAAP |
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RCAAP |
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Repositório Científico de Acesso Aberto de Portugal (Repositórios Cientìficos) |
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Repositório Científico de Acesso Aberto de Portugal (Repositórios Cientìficos) |
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Repositório Científico de Acesso Aberto de Portugal (Repositórios Cientìficos) - Agência para a Sociedade do Conhecimento (UMIC) - FCT - Sociedade da Informação |
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