Browsing by Author "Pornpong Sakdapat"
Pornpong Sakdapat; Yuthana Sethapramote (National Institute of Development Administration, 2018)
This dissertation investigates the applications of the Merton KMV model with the conditional volatility (GARCH) to measure credit risk in Thailand. The thesis consists of three essays. First essays calculate the distance to defaults during Mar 2010 to Apr 2018 with various methods and check the validity of the data to provide warning indicator of the default in the 461 listed companies. Result show that Both Merton KMV and conditional volatility GARCH distance to default move with the same direction while conditional volatility GARCH distance to ...