List of Articles Distance to default

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  1 - Evaluating the distance to default of banks: banks admitted to the stock exchange
  Ghader Mohamad pour aghdam teymor mohammadi mehdid adibpour
  10.30495/eco.2023.1973613.2711
  The purpose of this research is to calculate the distance to default of 14 banks admitted to the Tehran Stock Exchange and active in the banking industry of the Islamic Republic of Iran, based on the option pricing method of Merton, Black-Scholes, using the calculation More

  The purpose of this research is to calculate the distance to default of 14 banks admitted to the Tehran Stock Exchange and active in the banking industry of the Islamic Republic of Iran, based on the option pricing method of Merton, Black-Scholes, using the calculation of the market value of the banks' assets and their risk in the period The time is 1392-1400. For this purpose, the average market value of assets, liabilities and asset risk of banks and the distance to their default are calculated and compared.The index of distance to default of each of these banks in this period depends on the market value of assets, risk of assets, risk-free interest rate and debt. These variables depend on economic and non-economic and managerial factors. Bank Ansar, with the lowest average market value of assets, has the shortest distance to its default. On the other hand, Bank Mellat, which has the highest average market value of assets, has the longest distance to default. As a result, the most bank assets will have a longer distance to default. Manuscript profile
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  2 - Distance to default in banks with the approach of transformed- data maximum likelihood estimate method
  samane shafiee mohammadhamed khanmohammadi
  We introduced estimation methods include the market value proxy , volatility restriction , KVM , and the transformed-data maximum likelihood with strengths and weaknesses in order to estimate distance to default . If the correct estimation method is not used, there will More

  We introduced estimation methods include the market value proxy , volatility restriction , KVM , and the transformed-data maximum likelihood with strengths and weaknesses in order to estimate distance to default . If the correct estimation method is not used, there will be distortion in the results . Considering the different balance sheet structure , the transformed- data is introduced by considering the coefficient of other debts as an optimal method in order to estimate distance to default in banks. Then, we used Merton's adjusted model and the transformed- data method during 2012 to 2019 to calculate market value of assets, asset volatility, distance to default, and probability of default in some private banks. The results show that the highest market value of assets is related to Bank Mellat and the lowest is Post Bank . The results achieved by comparing are different regarding volatility of assets, distance to default, and the probability of default. Additionally, the average market value of banks' assets is increasing and the average volatility of assets and the average distance to default is decreasing . In other words, Banks have become closer to default . The Dickey-Fuller test confirms the Stationary of the research model. Manuscript profile
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  3 - Investigating the impact of financial distress risk on stock prices crashes
  marjan izadkhah reza raei saeed falahpor
  The purpose of this article is to investigate the impact of financial distress risk on the fall in the stock prices of companies listed on the Tehran Stock Exchange. In this research, statistical data of 195 companies admitted to the Tehran Stock Exchange during the yea More

  The purpose of this article is to investigate the impact of financial distress risk on the fall in the stock prices of companies listed on the Tehran Stock Exchange. In this research, statistical data of 195 companies admitted to the Tehran Stock Exchange during the years 2015-2019 have been used, and multiple regression using the panel data method has been used to analyze the data. To measure the variable of financial distress risk, Merton's distance to default index and to measure the fall of stock prices, four methods of risk period of stock price fall, negative skewness of stock returns, maximum sigma and low-to-high volatility have been used, as well as asset return ratio variables. leverage ratio, ratio of market value to book value and company size have been used as control variables. The results of the research show that there is a positive and significant relationship between financial distress risk and falling stock prices. Manuscript profile