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EDF model adjusted for credit risk of listed companies in China revealed by empirical analysis

Author: LiYingQun
Tutor: JiangXianLing
School: University of Foreign Trade and Economic
Course: Finance
Keywords: EDF model Credit risks Probability of default
CLC: F224
Type: Master's thesis
Year: 2006
Downloads: 237
Quote: 0
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Abstract


Responding to the BASEL II IRB approaches, commercial banks and scholars havemade research on the quantitative model to evaluate credit risk——the EDF model.There are some papers focused on theoretic model revising but few tested the revisedmodels with Chinese market data. This thesis is based on the previous research resultsof others. We modify some of the equations and choose appropriate indices which arerevised according to the real circumstance of China to validate the power and level ofKMV’s EDF credit measure model in China market. The aim of the paper is toprovide the theoretical foundation for further research on feasibility and scientificrevising of the model, and for applying it in the future.The main conclusions of this thesis are as follows:Firstly, it reveals the revised model can differentiate corporations with normal creditrisks and high credit risks. It can also describe the credit risk of single corporationwell and truly.Secondly, the revised model doesn’t tell the truth of the credit risk of a corporationhaving been in the phase of high credit risks, showing an underestimated value.In the last part, on the basis of theoretical research and empirical research, we come tosome measures on how we can make better use of the EDF model to measure creditrisks and to meet the requirement of the BASEL II IRB approaches.

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CLC: > Economic > Economic planning and management > Economic calculation, economic and mathematical methods > Economic and mathematical methods
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