Merton-modellens anvendelse i praksis: Med fokus på Ambu A/S

Simon Kastberg Kristensen & Kasper Oxbøll Assenholm

Student thesis: Diploma thesis


The purpose of this thesis is to examine whether the Merton-model is useful for quantifying credit risk on the Danish medical equipment company Ambu A/S. The thesis seeks to estimate the input variables used in the Merton-model, as well as determine the sensitivity to changes in the input variables. The analysis will be conducted with the use of different methods for estimating variables, including GARCH(1,1) and EWMA. Furthermore we illustrate the theoretical background of the Merton-model through Monte Carlo simulation. Finally the thesis compares the Merton-model results with the probability of default given a Baa/BBB-rating. We find that the Merton-model in this case severely underestimates the probability of default, assuming a Baa-rating of Ambu A/S. We believe that the model is based on very little information, compared to the level of information used by the rating agencies, which could explain the difference in estimating the probability of default. Our conclusion is that the model is of little use, due to questionable assumptions and a high sensitivity to input variables.

EducationsGraduate Diploma in Finance, (Diploma Programme) Final Thesis
Publication date2013
Number of pages78