Thesis--Wisconsin. / Vita. Includes bibliographical references (leaves 186-194).

Thesis (M.A.)--Catholic Theological Union, 1984. / Includes bibliographical references.

Thesis (M.A.)--Catholic Theological Union, 1984. / Includes bibliographical references.

Thesis (M.A.)--Catholic Theological Union, 1984. / Includes bibliographical references.

Diss.--München--Universität, 1992. / Bibliogr. p. 381-399.

Submitted by Gustavo Adolfo Martins Jotta Soares (profgustavoadolfo@gmail.com) on 2018-08-20T20:28:43Z No. of bitstreams: 1 fgv_dissertacao_gustavo_VF.pdf: 1174369 bytes, checksum: 13484b7307de172258d40696645c0b75 (MD5) / Approved for entry into archive by Janete de Oliveira Feitosa (janete.feitosa@fgv.br) on 2018-09-24T19:13:21Z (GMT) No. of bitstreams: 1 fgv_dissertacao_gustavo_VF.pdf: 1174369 bytes, checksum: 13484b7307de172258d40696645c0b75 (MD5) / Made available in DSpace on 2018-09-27T14:22:41Z (GMT). No. of bitstreams: 1 fgv_dissertacao_gustavo_VF.pdf: 1174369 bytes, checksum: 13484b7307de172258d40696645c0b75 (MD5) Previous issue date: 2018-06-25 / Merton’s portfolio optimization problem is the choice an investor must make of how much of its wealth it should consume and how much it should allocate between stocks and a risk-free asset in order to maximize the expected utility. The focus of this work was to solve two of the cases of the Merton problem. For this, we studied some fundamental themes, such as: Dynamic Principle Programming (DPP) and the Hamilton-Jacobi-Bellmann Equation (HJB Equation). In addition, we review some concepts of Stochastic Processes and some important results of Itô Calculus. Merton’s portfolio optimization problem is well known in finance and the central ideas for solving it are adaptable to solving other finance problems.

This thesis explores the modelling for Internal Rating Based (IRB) of Credit Risk for Small and Medium Enterprises (SMEs) as required for implementation of Basel II Accord. There has been limited previous research for this important sector of the economy. There are two major approaches: Accounting Based and Merton Type, and these are compared. To make the comparison initially a small sample is considered and simulation is used to explore the use of the two approaches. The study indicates some of the limitation of analysis for both Accounting Based and Merton Type approaches, for example the issue of colinearity for the Accounting Based approach and lack of trading of SMEs’ equity affecting the Merton Type approach. A large sample is then investigated using standard Credit Scoring approaches for the Accounting Based modelling. Different definitions of default and distress are considered to overcome the problem of low number of defaults. These approaches are found to be viable. Merton Type model is then compared to benchmark models from the Accounting Based approach. The predictions are compared over differing time horizons. It is found that Merton Type models perform well within a limited period compared to the Accounting Base approach. Overall, credit scoring models demonstrated better performance when the sample group included a considerable number of ‘Bad’ firms or cutoff point was selected so that an acceptance rate was relatively low, otherwise model’s predictive accuracy would decline. Merton model presented better predictive accuracy with higher acceptance rates. Credit scoring models was able to give early signs of default year. In addition, one may take into consideration that if the company is going to decline credit quality or raise default probability this year, Merton type models can be helpful in adjusting credit rating. When considering a loan to a company, a bank wants to know the likelihood default for duration of loan. In this sense Merton models is only useful for a relatively short loan terms.

Diss.--Essen, 2003. / Bibliogr. p. 201-215.

Thesis (D. Min.)--Ashland Theological Seminary, 1990. / Abstract. Includes bibliographical references (leaves 187-203).

Thesis (S.T.L.)--Catholic University of America, 2006. / Includes bibliographical references (leaves 110-114).