An Empirical Study on Financial Distress Prediction Taking into Account the Expected Default Frequency

摘要：

Based on a lot of related literatures, the authors suggest a Financial Distress Prediction System incorporated the Expected Default Frequency (EDF) into Logit regression modeL The empirical findings suggest that the EDF calculated by KMV model is significantly associated with the probability of default in both 3rd and 4th quarters prior to the financial crisis of sample firms. Thus, an incorporation of EDF into the financial distress system does enhance its overall accuracy.

关键词： KMV model Logit regression credit risk financial distress

作者: Xiaoli Song

作者单位: School of Management Zhejiang University Hangzhou, China 310058

会议类型: 国际会议

会议名称: 2010 International Conference of Informationa Science and Management Engineering(2010年信息科学与管理工程国际学术会议 ISME 2010)

会议地点: 西安

会议语种:英文

页码: 1087-1090

在线出版日期: 2010-08-07（万方平台首次上网日期，不代表论文的发表时间）