Estimation of Default Risk Based on KMV Model—An Empirical Study for Chinese Real Estate Companies
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 ...
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ژورنال
عنوان ژورنال: Journal of Financial Risk Management
سال: 2014
ISSN: 2167-9533,2167-9541
DOI: 10.4236/jfrm.2014.32005