Banking regulations: An examination of the failure of African Bank using Merton's structural model

被引：1

作者：

Sanderson, Leon B. ^{[1
]}

Mare, Eben ^{[2
]}

de Jongh, Dawie C. J. ^{[3
]}

机构：

[1] Univ North West, Ctr Business Math & Informat, Potchefstroom, South Africa

[2] Univ Pretoria, Dept Math & Appl Math, Pretoria, South Africa

[3] Univ North West, Ctr Business Math & Informat, Potchefstroom, South Africa

来源：

关键词：

Merton model; distance-to-default; financial health; analysis; put option; DEFAULT; RISK;

D O I：

10.17159/sajs.2017/a0216

中图分类号：

O [数理科学和化学]; P [天文学、地球科学]; Q [生物科学]; N [自然科学总论];

学科分类号：

07 ; 0710 ; 09 ;

摘要：

引用

页数：7

共 7 条

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Allen, David E. ;

Powell, Robert .

[2]

[Anonymous], 2001, The new Basel Capital Accord

[3]

Gilbert R.AIton., 2000, The Role of a CAMEL Downgrade Model in Bank Surveillance

[4] PRICING OF CORPORATE DEBT - RISK STRUCTURE OF INTEREST RATES [J].

MERTON, RC .

[5]

Merton RC., 1977, J BANK FINANC, V30, P3

[6] Distance to default and the financial crisis [J].

Milne, Alistair .

[7]

Prescott E.S., 2008, EC Q, V94, P1