Citation:
[Title:] Proceedings of the 3rd International Conference on Quantitative and Qualitative Methodologies in the Economic and Administrative Sciences, 23-24 May 2013 [ISBN:] 978-960-98739-4-9 [Publisher:] Technological Educational Institute (T.E.I.) [Place:] Athens, Greece [Year:] 2013-05-23 [Pages:] 255-260
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 crisis.