DocumentCode
2138675
Title
Dynamics of credit risk for listed company in China
Author
Zheng, Chengli ; Chen, Yan
Author_Institution
School of Economics, Huazhong Normal University, Wuhan, 430079, China
fYear
2010
fDate
4-6 Dec. 2010
Firstpage
2809
Lastpage
2812
Abstract
Referring to the model of KMV, combining the reality of ownership Separability for listed corporations in China, the mathematical frame of default rate forecasting and credit rating for listed corporations and its dynamic version is presented. Applying the model to delisted corporations and listed corporations (not ST or PT), it turns out that this method is powerful in forecasting default rate, especially in recognizing the relative credit quality for the companies. And this method could be applied in practice.
Keywords
Analytical models; Biological system modeling; Companies; Equations; Forecasting; Mathematical model; Predictive models; Credit Risk; Default Rate; Dynamic Forecasting; KMV Model; Ownership Separability;
fLanguage
English
Publisher
ieee
Conference_Titel
Information Science and Engineering (ICISE), 2010 2nd International Conference on
Conference_Location
Hangzhou, China
Print_ISBN
978-1-4244-7616-9
Type
conf
DOI
10.1109/ICISE.2010.5690822
Filename
5690822
Link To Document