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
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;
Conference_Titel :
Information Science and Engineering (ICISE), 2010 2nd International Conference on
Conference_Location :
Hangzhou, China
Print_ISBN :
978-1-4244-7616-9
DOI :
10.1109/ICISE.2010.5690822
