Research on Internal Credit Risk Rating of Listed Companies

摘要：

Based on the Hall and Miles (1990) model, this article describes the method to the estimation of default probabilities of listed company and to build the internal rating system. The method is simple for it only requires companys stocks data, and can reflect the current credit quality of listed company. It avoids lagged credit rating information. We give 2004 years credit rating results of listed company and compare it with Xinhua Far East China Ratings (PI) Results. We find that two results is positive correlation.

关键词： Listed companies Default probability Garch-M model Credit risk rating

作者: 龚朴 何旭彪

作者单位: 华中科技大学管理学院,武汉,430074

会议类型: 国际会议

会议名称: 2005年中国国际金融年会

会议地点: 昆明

会议语种:英文

在线出版日期: 2005-07-05（万方平台首次上网日期，不代表论文的发表时间）