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Based on LT models listed company credit risk measurement and management research

Author: YuZhuFeng
Tutor: WangYaJie
School: Harbin Institute of Technology
Course: Finance
Keywords: Credit Risk LT model Expected Default Credit Rating
CLC: F830.9
Type: Master's thesis
Year: 2010
Downloads: 84
Quote: 0
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Abstract


Since the 1990s , seven major financial crisis brought the world economy had a huge impact and losses , which caused the global financial industry in particular, the financial risks of credit risk management attention. In fact, since the 1970s , foreign scholars on the development of a series of measure and manage credit risk model, structure model is one of the typical credit risk quantification models . These quantitative models for financial institutions to guard against credit risk has played an important role. With the further development of China's financial markets , financial institutions needs to be improved measure and manage credit risk level. The purpose of this study is hoped that through the structural model , especially LT model theoretical and empirical research, our financial institutions in credit risk measurement and management to provide a point of reference . This structural model of credit risk modeling methods were compared in-depth research , and the LT model is applied to our empirical study , the main research contents include: ( a ) structural model of credit risk research situation in detail comb ; ( 2 ) a comprehensive and systematic exposition of the Merton model , LS and LT models model the three most representative structure of the credit risk model construction ideas, the difference between these three models and features in-depth investigation, and the model calculates the expected default given mathematical formulas and methods ; ( 3 ) of the scholars present empirical research on the structural model for the Merton model is mostly limited empirical research , this article will LT model is applied to our country's listed companies , according to China the specific circumstances of the capital market , the model parameters are given specific setting method for structural model is applied to the credit risk of listed companies in China engaged in a useful attempt ; ( 4 ) this article uses the KMV model LT models and empirical analysis were compared , and proposes the credit risk management and capital market policy recommendations .

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CLC: > Economic > Fiscal, monetary > Finance, banking > Finance, banking theory > Financial market
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