• 不 限
  • 期刊论文
  • 硕博论文
  • 会议论文
  • 报 纸
  • 英文论文
  2. 您的位置
  3. 首页
  4. 会议论文
  5. An Empirical Analysis of KMV Model and Credit Risk Measurement

An Empirical Analysis of KMV Model and Credit Risk Measurement

来源 :中国系统工程学会 | 被引量 : 0次 | 上传用户：zxblovezxh
【摘 要】
：
KMV model is one of the most mature credit risk measure models,it combines option pricing theory directly use data of stock market to manage credit risk and has wide applied futures.
【作 者】
：
Yu Li 
【机 构】
：
School of Economics and Management,University of Chinese Academy of Sciences,China
【出 处】
：
中国系统工程学会
【发表日期】
：
2016年5期
【关键词】
：
KMV Credit Risk Listed Company 
下载到本地 , 更方便阅读
下载此文 赞助VIP
声明 : 本文档内容版权归属内容提供方 , 如果您对本文有版权争议 , 可与客服联系进行内容授权或下架
论文部分内容阅读
　　KMV model is one of the most mature credit risk measure models,it combines option pricing theory directly use data of stock market to manage credit risk and has wide applied futures.
其他文献
Intelligent Identification and Classification of Distinguished Product Features Based on Large Scale
More and more people are using social media to share their consumption experiences.The large,publicly accessible online product reviews have become a significant information resource for enterprise to
会议
Product FeatureInformation GainSentiment AnalysisOnline Product ReviewsUser
Demand and Capacity Sensitivity Analysis of Hierarchical Location and Allocation Problem in Disaster
In this paper,we focus on a hierarchical location and allocation problem in emergency preparedness.A hierarchical location and allocation model(HLAM)is formulated based on a nested structure and deman
会议
Hierarchical Location and AllocationSensitivity AnalysisDisaster Preparation
A Comparative Research of Stock Market Between China and America:VaR and Co-movement
With the strengthening globalization on economy and finance,the interaction effect among different countries is becoming stronger and stronger,regardless of the economy or the politics.
会议
VaRCo-MovementGARCHRisk Management
Why Sector Rotation Moving Like A Fan?:A Frequency Domain Analysis of Chinese A Share Sector Index
From the traditional investment clock or Sector Rotation theorys perspective,swayed by macroeconomic climate,stocks of different sectors should become "outperform" in a particular and stable order.
会议
Ensemble Empirical Mode DecompositionSector Rotation
Intra-industry and Inter-industry Reversals of China's A-share Returns
In this paper,we demonstrate the evidence of intra-industry and inter-industry reversals of Chinas A-share monthly returns.Previous documents only test the reversals of the market portfolio.
会议
China's A-share ReturnsReturn ReversalsIndustry EffectsContrarian Strate
Pricing of Exchangeable Bonds with American Call Option Embedded
Convertible/Exchangeable bonds are a developing segment of the corporate bond market.Nonetheless,the pricing of convertible bonds has not been addressed extensively due to the complicated optionality
会议
Exchangeable Bonds
Risk Measurement Models of Chinese Bonds
Chinas bond market is in the rapid development,the amount of corporate bonds,private debt,governmental bonds substantially increased in the past year.
会议
BondsDefault RiskMarket RiskVaRKMVES
An Examination of Herd Behavior in Equity Markets-Based on CSI 300 Index
With the rapid development of modern financial market,it has become more and more important for people to build the realistic theory to describe the real world.
会议
Herding Behavior
An examination of herding behavior in equity market of China
Herd behavior describes how individuals in a group can act collectively without centralized direction.In this paper,investment behaviors in Chinese equity market are examined and we hope to find evide
会议
Herding BehaviorEquity MarketEquity Return Dispersion
An Empirical Analysis on Herding in China's Security Market
This paper presents a method of herding test,through examining the non-linear relationship between market returns and the across-sectional absolute deviation(CSAD)of stocks returns,to determine whethe
会议
HerdingAcross-Sectional Absolute Deviation (CSAD)