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标题:A study of credit risk of Chinese listed companies: ZPP versus KMV
时间:2019-02-11 20:05:19
DOI:10.1080/00036846.2015.1128077
作者:Lili Li;Jun Yang;Xin Zou
出版源: 《Applied Economics》 ,2016 ,48 (29) :2697-2710
摘要:The Zero-Price Probability (ZPP) model is applied to evaluate the credit risk of listed companies in China and its performance is compared to that of the Kealhofer-McQuown-Vasicek (KMV) model. The sample includes 34 financially distresse...
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目录:
  • Abstract
  • I. Introduction
  • II. Literature review
    • Statistical methods
    • AI methods
    • Structural models
  • III. ZPP model
  • IV. Sample and model implementation
    • Sample selection and data
    • Model implementations
      • KMV model
      • ZPP model
  • V. Empirical analyses
    • KMV model
    • ZPP models
    • Comparison of KMV model and ZPP models
  • VI. Conclusions
  • Disclosure statement
  • Funding
  • ORCID
  • References
  • Appendix List of sample companies

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