Research on Listed Company Credit Risk Modeling
The growing interest in management of credit risk and estimation of default probabilities has given rise to a range of more or less elaborate credit risk models. This paper introduces a simple method for the default probability of listed company that is easily computed from stock price. The stock price process is build by the multivariate GARCH-M system model and Generalized Error Distribution(GED). Then the default probability of listed company is obtained according to the concept of default distance. We study the default probabilities for two kinds of listed companies with different credit quality. The statistical results show that default probability model can identify the credit risk of listed company effectively.
Listed companies Default Credit risk GARCH-M model
He Xubiao Gong Pu
College of Management, Huazhong University of Science and Technology, P.R.China, 430074
国际会议
第六届管理学国际会议(Proceedings of ICM2007 the 6th International on Management)
武汉
英文
648-653
2007-08-03（万方平台首次上网日期，不代表论文的发表时间）