[Title:] Proceedings of the 3rd International Conference on Quantitative and Qualitative Methodologies in the Economic and Administrative Sciences, 23-24 May 2013, T.E.I. of Athens, Greece, ISBN: 978-960-98739-4-9, pp.255-260. (Pub. Technological Educational Institute of Athens, Greece)
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.
Monte Carlo simulation Bankruptcy probabilities Debt-crisis Bank stability