Structural Credit Risk Models with Subordinated Processes

Table 3

Indexes of stability alpha average values of ratio (𝐿/𝐴), and risk neutral PD and DD obtained from the stable Lévy model.

Company	Alpha	Average ratio; (𝐿/𝐴)	Average PD	Average DD
(1) Boeing	1.6619	0.1308	0.0149	8.9153
(2) Cisco Systems	1.5756	0.0262	0.0116	20.4104
(3) Chevron	1.6671	0.0606	0.0067	13.7868
(4) E. I. du Pont de Nemours	1.6575	0.1169	0.0137	10.0480
(5) Walt Disney	1.5680	0.1305	0.0265	8.5155
(6) Home Depot	1.6101	0.0599	0.0173	11.9741
(7) Hewlett-Packard	1.5850	0.0914	0.0253	8.3069
(8) IBM	1.6110	0.1032	0.0120	11.5404
(9) Intel	1.6411	0.0098	0.0131	14.3321
(10) Johnson & Johnson	1.5803	0.0330	0.0068	22.9854
(11) Coca Cola	1.5505	0.0614	0.0120	17.6094
(12) McDonalds	1.7570	0.1012	0.0032	12.3247
(13) 3M	1.5590	0.0494	0.0136	14.9028
(14) Merck & Co.	1.5909	0.0610	0.0150	11.1738
(15) Microsoft	1.5459	0.0068	0.0082	21.1204
(16) Pfizer	1.6691	0.0813	0.0085	11.2040
(17) Procter & Gamble	1.4745	0.1010	0.0204	13.9846
(18) AT&T	1.5985	0.1607	0.0176	8.5163
(19) UnitedHealth Group	1.5839	0.0925	0.0256	10.3436
(20) United Technologies	1.6064	0.0798	0.0138	12.0951
(21) Verizon Communications	1.6645	0.2106	0.0114	8.9470
(22) Wal Mart Stores	1.6398	0.0955	0.0080	12.5641
(23) Exxon Mobil	1.6494	0.0207	0.0060	18.1822
(24) Travelers Companies	1.4659	0.1291	0.0464	8.9419