Estimation of the default risk of publicly traded Canadian companies

Cover of: Estimation of the default risk of publicly traded Canadian companies |

Published by Bank of Canada in [Ottawa] .

Written in English

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Subjects:

  • Default (Finance) -- Econometric models.

Edition Notes

Book details

Statementby Georges Dionne ... [et al.].
SeriesBank of Canada working paper -- 2006-28, Working paper (Bank of Canada) -- 2006-28.
ContributionsDionne, Georges., Bank of Canada.
The Physical Object
Paginationvi, 55 p. ;
Number of Pages55
ID Numbers
Open LibraryOL20902578M

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Estimation of the Default Risk of Publicly Traded Canadian Companies by Georges Dionne, Sadok Laajimi, Sofiane Mejri, and Madalina Petrescu Canada Research Chair in Risk Management, CIRPÉE, and CREF HEC Montréal Montréal, Quebec, Canada H3T 2A7 @ The views expressed in this paper are those of the by: 4.

Get this from a library. Estimation of the default risk of publicly traded Canadian companies. [Georges Dionne; Bank of Canada.;] -- "Two models of default risk are prominent in the financial literature: Merton's structural model and Altman's non-structural model.

Merton's structural model has. The authors conduct a preliminary analysis of correlations between structural probabilities of default for the firms in their database. Their results indicate that there are substantial correlations in the studied data.

Also published as: Estimation of the Default Risk of Publicly Traded Cited by: 4. Downloadable. In this paper, we investigate the hybrid contingent claim approach with publicly traded Canadian companies listed on the Toronto Stock Exchange.

Our goal is to assess how combining their continuous valuation by the market with the value given in their financial statements improves our ability to predict their probability of default.

Request PDF | Estimation of the Default Risk of Publicly Traded Canadian Companies | Two models of default risk are prominent in the financial literature: Merton's structural model and Altman's.

Downloadable. Two models of default risk are prominent in the financial literature: Merton's structural model and Altman's non-structural model. Merton's structural model has the benefit of being responsive, since the probabilities of default can continually be updated with the evolution of firms' asset values.

Its main flaw lies in the fact that it may over- or underestimate the probabilities. COVID Resources. Reliable information about the coronavirus (COVID) is available from the World Health Organization (current situation, international travel).Numerous and frequently-updated resource results are available from this ’s WebJunction has pulled together information and resources to assist library staff as they consider how to handle coronavirus.

Request PDF | Estimation of the default risk of publicly traded companies: Evidence from Canadian data | Through Canadian publicly traded companies, this study assessed how combining firms. Canada Research Chair in Risk Management Working Paper Estimation of the Default Risk of Publicly Traded Canadian Companies Georges Dionne, Sadok Laajimi, Sofiane Mejri, and Madalina Petrescu∗ Canada Research Chair in Risk Management, CIRPÉE and CREF HEC Montréal 30 November Revised 21 March AbstractCited by: 4.

Estimation of the Default Risk of Publicly Traded Canadian Companies by Georges Dionne of HEC Montréal, Sadok Laajimi of HEC Montréal, Sofiane Mejri of HEC Montréal, and Madalina Petrescu of HEC Montréal (K PDF) -- 63 pages -- August Estimating Default Barriers from Market Information.

Companies listed on the Canadian Securities Exchange‎ (4 P) Companies listed on the Toronto Stock Exchange‎ (11 C, P) Companies listed on the TSX Venture Exchange‎ (2 C, 38 P) Pages in category "Publicly traded companies of Canada" This category contains only the following page.

This list may not reflect recent changes. Estimation of the Default Risk of Publicly Traded Canadian Companies Number of pages: 50 Posted: 17 Apr Georges Dionne, Sadok Laajimi, Sofiane Mejri and Madalina Petrescu. 10 Risks That Every Stock Faces.

publicly traded companies have another number that matters as much as, if not more than, the credit rating. Sovereign risk is the risk that a foreign. Estimation of the Default Risk of Publicly Traded Canadian Companies Staff Working Papers, Bank of Canada View citations (3) Also in Cahiers de recherche, CIRPEE () View citations (2) Heterogeneous Basket Options Pricing Using Analytical Approximations Cahiers de recherche, CIRPEE View citations (2).

Estimating the Market Risk for Nontraded Securities: An Application to Canadian Public Utilities MICHAEL K. BERKOWITZ The Capital Asset Pricing Model is now generally accepted by the investment community as a valuable input for determining a firm's fair return on by: 2.

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Green Technology. PHOTOS: THE 20 CANADIAN COMPANIES MOST LIKELY TO DEFAULT. Bloomberg’s analysis found the Quebec-based maker of planes, trains and other forms of civil transport has a higher risk of going Author: Daniel Tencer.

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The bond's current yield is % ($1, annual interest / $18, x ). But the bond's yield to maturity in this case is higher. It considers that you can achieve compounding interest by reinvesting the $1, you receive each year.

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The debt level is high, but they are in a capital intensive business so it is to be expected. As icing on the cake. Estimating the Cost of Equity and Equity Risk-Premia of Canadian Firms George Athanassakos Wilfrid Laurier University, Canada This article proposes an alternative approach to estimating the required rate of return on equity, combining the bond-plus risk-premium approach and the Capital Asset Pricing Model, and tests it using Canadian data.

Capital Structure: The Choices and the Trade off" Conservatively financed, publicly traded companies, with stocks held by millions of investors, none of whom hold a large percent of the stock." In an environment, where there are no taxes, default risk or agency costs, capital structure is irrelevant.

Publicly traded and privately traded stocks are vastly different. Whereas publicly traded stocks are traded in public marketplaces, privately traded stocks are much less transparent.

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The same goes for German companies. Last week WSP Global of Montreal, SNC-Lavalin of Montreal, and Stantec of Edmonton and New York all reported their financial results for the second quarter of These are the three largest Canadian engineering companies that are publicly traded.

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If you work for a publicly traded company, download the company's annual report. If you don't work for a publicly traded company, download the annual report of one of your favorite products (e.g.

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Dionne C. Fluet D. Desjardins: Estimation of the Default Risk of Publicly Traded Canadian Companies (Canadian Journal of Administrative Scien 2,) G. Dionne S. Laajimi S.

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Last Friday, the share price of SNC-Lavalin of Montreal, Canada’s oldest publicly traded and largest engineering company (it also owns, operates and maintains infrastructure) closed on the Toronto Stock Exchange at $ Six weeks earlier, on Septem the share price was $ MSCI ESG KLD STATS (STATS) is an annual data set of positive and negative environmental, social, and governance (ESG) performance indicators applied to a universe of publicly traded companies.

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A beta below 1 can indicate either an investment with lower volatility than the market, or a volatile investment whose price movements are not highly.One possible explanation is that during the – financial crisis the soaring default risk level of financial companies was a major concern for most investors.

Therefore, short sellers reacted rationally toward changes in the default risk levels of these financial companies, which may have caused stock price movements. Cited by:

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