Credit risk measurement of company bonds
Traditional credit risk measurement can not provide investors with a forward-looking quantitative or the results of this comparative analysis of the various methods of measuring credit risk, based on the traditional model of KMV,EDF was amended so that non-compliance Measuring the rate more in line with economic realities and taking into account the quality of data possible deficiencies.Through random sample of three categories of industries in China A-share listed companies as 60 samples Empirical Study, we can compare credit risk changes among non-compliance from the industries or different periods.
company bonds credit risk KMV model EDF
Wang De-fa Liu Fei Lu Hong
Department of Statistics,Shanghai University of Finance & Economics,PRC
国际会议
International Symposium on Financial Engineering and Risk Management(2008年金融工程与风险管理)
上海
英文
127-131
2008-06-01（万方平台首次上网日期，不代表论文的发表时间）