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Metric study based on the credit risk of the Company of the ES method

Author: LiGuoDong
Tutor: WuRunHeng；FanYuLian
School: North China University of
Course: Applied Mathematics
Keywords: VaR ES Coherent Risk Measures KMV Richardson Extrapolation
CLC: F830.9
Type: Master's thesis
Year: 2011
Downloads: 50
Quote: 0
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Abstract


With the diversity and complexity of financial globalization and financial derivative products , financial institutions, credit risk has become one of the important research content of financial risks . Develop and grow in order to keep in the fierce market competition , enterprises continue to need by borrowing to expand production scale . Which gives the bank loans to businesses specific requirements : how to determine whether a company has the ability of repayment within the stipulated period ? Therefore, there is an urgent need an effective financial credit risk measurement tool . With further research , with a consistency risk measurement has become one of the research method . In this paper , we apply the consistency of risk measurement methods : ES method to study the credit risk of listed companies , the company 's asset value and volatility is based on the proposed model , the solution of the nonlinear equations . Calculated value and the volatility of the company 's assets , we can obtain the distribution of the future value of the assets , and then use the value of the Richardson extrapolation estimated ES . To contrast with the company 's ability to repay , to come to the ES metric can reflect real behavior and decision-making of the company 's conclusion . Thereby proving the ES method is effective . The main work of this paper are as follows : 1. Existing financial risk measurement methods Roundup: a comparison from the definition of the nature of the calculation of VaR, variance , ES risk measurement methods , their advantages and disadvantages evaluation , in particular, leads to VaR proved the consistency of the number of new properties in ES , and ES methods . KMV model to calculate the value of the assets of the Company and its volatility , based on the the Richardson Extrapolation estimated the ES value , compared with the company's ability to repay indicators to arrive at the ES method can effectively estimates the credit risk of the borrowing company conclusions.

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