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Empirical Research On Default Probability Of Specially Treated Corpration

Posted on:2007-02-20Degree:MasterType:Thesis
Country:ChinaCandidate:L X ZhuFull Text:PDF
GTID:2189360185951251Subject:Agricultural Economics and Management
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In Chinese capital market, the market risk has already aroused extensive and intensive attention. Compared with attention paid to market risk, the credit risk has been ignored, which is asymmetric to the possible huge loss caused by credit risk. So paying more attention to the credit risk existing in Chinese capital market is of very significance. In the view of the important role of default probability in the credit risk management, in this paper, the author employs the KMV model, chooses nineteen specially treated corporations by Shanghai Security Exchange in the year 2004 as samples, estimates the default probability of samples empirically. Relation between special treatment and default existing in a specially treated corporation is derived out. Based on this finding, two hypotheses are made: 1. a specially treated corporation may be with high default probability; 2.the default probability of a specially treated corporation tends to be higher as time near the exposure date. Results show as following: 1. the first hypothesis is true according to the PD of 1- year and PDs of each quarterly in one year before special treatment and the second hypothesis also is true in three quarterlies before a corporation is specially treated. Default probability of a specially treated corporation is high and tends to increase as time near the exposure date.2.KMV model has a capacity of discriminating the bad borrowers from good borrowers.3. volatility of market value of asset is determinant of default probability.This paper includes five parts. In Chapterâ… , following the research work on credit risk existing in Chinese capital market examined, default probability is introduced as the paper's topic and the KMV model as the main method. In Chapterâ…¡, after explaining the relation between the definition of default and default incident, the author makes a definition that default probability is the borrowers'probability of incurring default incidents, followed by summary of the role of default probability playing in the credit risk management and comparison of the advantages and disadvantages of four modern famous credit risk models. Then ,in Chapterâ…¢, KMV model is introduced fully. Three parts detailed examined are the evolvement of KMV model, the deduction of model and the testing methods. And then, in Chapter...
Keywords/Search Tags:special treatment, default probability, KMV model
PDF Full Text Request
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