Προσομοίωση για τον υπολογισμό των πιθανοτήτων επιβίωσης επιχειρήσεων και τραπεζών σε παρατεταμένη διάρκεια της δανειακής κρίσης

Abstract

In the current paper, we study the stability and the survival probabilities of enterprises and banks within a prolonged duration of the debt-crisis, with Monte Carlo simulation. We utilize historical data from banks and enterprises within the debt-crisis to define crisis-variability and crisis-average values of input parameters of the simulation. We introduce the concept of equities maximum draw-down as dynamic survival indicator. Finally we estimate the survival probabilities of enterprises and banks within a prolonged duration of the debt crisi