Credit Default Risk Assessment of Local Government Debts Based on KMV Model
نویسندگان
چکیده
منابع مشابه
Estimation of Default Risk Based on KMV Model—An Empirical Study for Chinese Real Estate Companies
In this paper, we analyze the default risk of Chinese real estate companies with KMV model and time-varying copula. We collected the data of the listed real estate companies in Shanghai and Shenzhen Exchanges from 2007 to 2012 to calculate the default distance and correlations. Experiments results show that the default risk increases during the financial crisis. Moreover, results also indicate ...
متن کاملFinding Default Barrier and Optimal Cutoff Rate in KMV Structural Model based on the best Ranking of Companies
According to the adverse consequences that are brought by financial distress for companies, economy and financial –monetary institutions, the use of methods that can predict the occurrence of financial failure and prevent the loss of wealth is of great importance. The major models of credit risk assessment are based on retrospective information and using the methods which use the updated market...
متن کاملOptimal replenishment and credit policy in supply chain inventory model under two levels of trade credit with time- and credit-sensitive demand involving default risk
Traditional supply chain inventory modes with trade credit usually only assumed that the up-stream suppliers offered the down-stream retailers a fixed credit period. However, in practice the retailers will also provide a credit period to customers to promote the market competition. In this paper, we formulate an optimal supply chain inventory model under two levels of trade credit policy with d...
متن کاملMicrosoft Word - Huiling He (SE 511849)_TOCSJ.docx
Based on the idea of KMV model to build China's local government debt credit risk model, and associate the credit risk with borrowing scale to put forward the moderate debt scale of local government. Studies show that: The credit risks of local government debt is very sensitive to debt scale, When debt scale increases to a certain extent, the government’s default probability will rise sharply, ...
متن کاملmortality forecasting based on lee-carter model
over the past decades a number of approaches have been applied for forecasting mortality. in 1992, a new method for long-run forecast of the level and age pattern of mortality was published by lee and carter. this method was welcomed by many authors so it was extended through a wider class of generalized, parametric and nonlinear model. this model represents one of the most influential recent d...
15 صفحه اولذخیره در منابع من
با ذخیره ی این منبع در منابع من، دسترسی به آن را برای استفاده های بعدی آسان تر کنید
ژورنال
عنوان ژورنال: International Journal of Economics and Finance
سال: 2016
ISSN: 1916-9728,1916-971X
DOI: 10.5539/ijef.v8n5p230