tag:blogger.com,1999:blog-19649274.post7053547555644852178..comments2022-05-19T20:43:38.115+05:30Comments on The Leap Blog: Methods for measurement of delays in the bankruptcy processAjay Shahhttp://www.blogger.com/profile/03835842741008200034noreply@blogger.comBlogger1125tag:blogger.com,1999:blog-19649274.post-33264708646381537252016-11-25T02:54:48.583+05:302016-11-25T02:54:48.583+05:301): Asset Value Calculation:
How are you computing...1): Asset Value Calculation:<br />How are you computing "expected asset value" for calculation of Dtd? Are you extracting the present value of asset from equity value using black scholes method.<br /><br />2): Debt Value Calculation:<br />Are you using total debt of the company in Dtd Calculation? Or are you using short term debt (to be paid immediately) for your dtd calculation.<br /><br />3) Why not use event based indicators of distress?<br />Dtd based measures can have high value of type 2 error. Event based measures are much better. For example, in banking risk management, delinquency event (>90) are much stronger indicators of possible default. In addition, these events do not have complex computation requirement like using prevalent black scholes formula.Anonymousnoreply@blogger.com