City Research Online

Abstract

The purpose of this thesis is to develop a framework for measuring and modelling the market and credit risks of Greek companies. The thesis is motivated by the tremendous transformation of both the regulatory requirements as well as the techniques for measuring risks and by the fact that stakeholders in companies have become aware in the last few years of the need for understanding the risks to which companies are exposed.

This thesis is divided into two parts. In the first part of the thesis we deal with the first major category of risks related to a company, that is credit risks. The credit risks are estimated using a sample of companies that were unable to service their bank loans to a specific bank. The issue we deal with in the first part is to identity a set of risk factors that will help us identify companies which may exhibit a high degree of credit risk as it is measured by their inability to fulfil their obligation to a bank.

The empirical results of the thesis shed some light on the behaviour of companies in Greece and highlight the factors that may help us to quantify and predict the credit risk of a company.

In the second part we deal with issues relating to the measurement of market risk of Greek quoted companies. The approach we take in this part is to look at the issues involved both at the level of measuring the risk of individual equities as well as measuring the risk in a portfolio context and to apply the various techniques that have been proposed to the study of the market risks of Greek companies. Such an analysis will be helpful to investors, portfolio managers and regulators since, we hope, it will produce a clearer picture of market risks.

The two parts are complementary, for whereas in the second part we deal large companies, since only the larger companies are quoted on the Athens Stock Exchange, in the first part we deal primarily with small and medium-sized enterprises which represent the majority of corporate entities in Greece.

Publication Type:	Thesis (Doctoral)
Subjects:	H Social Sciences > HG Finance
Departments:	Bayes Business School > Bayes Business School Doctoral Theses Bayes Business School > Finance Doctoral Theses

Export

Downloads