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）