会议专题

Research on the Application of KMV Model in China

Attention is concentrated on the application of KMV model in China in the paper. Seven kinds of default points are set Then the default distance will be calculated individually. The most suitable calculation model for default point in Chinas stock market will be established finally. Empirical analysis shows a very distinct gap between the default distance of an ST(special treatment) company and that of a non-ST(nonspecial treatment) company. It demonstrates that KMV model is effective in China. Furthermore, the regression equation with the intercept attained in the regression of total assets to current liabilities and long term liabilities is the most suitable for the situation of China in the setup of default point.

KMV Model Default Distance Default Point

Rongda Chen Jinrong Lu

School of Finance, Zhejiang University of Finance and Economics, Hangzhou, 310018, China

国际会议

第八届武汉电子商务国际会议(The Eighth Wuhan International Conference on E-Business)

武汉

英文

1224-1229

2009-05-30(万方平台首次上网日期,不代表论文的发表时间)