An empirical comparison of structural and accounting-based credit risk models.

• المؤلفون الرئيسيون: Leong, Wai Fun., Loh, Shueh Yi., Toh, Elaine Yi Lian.
• مؤلفون آخرون: Leon Chuen Hwa
• التنسيق: Final Year Project
• اللغة: English
• منشور في: 2009
• الموضوعات: DRNTU::Business::Finance::Risk management
• الوصول للمادة أونلاين: http://hdl.handle.net/10356/15066

This paper looks into 3 types of credit risk models: Altman Z-Score (2002), KMV-Merton (1974) and Longstaff and Schwartz (1997). These models are analyzed and tested using a sample of listed industrial firms in the Standard & Poor’s 500. With the aim of finding the most reliable and predictiv...