Title :
An Empirical Study on Financial Distress Prediction Taking into Account the Expected Default Frequency
Author_Institution :
Sch. of Manage., Zhejiang Univ., Hangzhou, China
Abstract :
Based on a lot of related literatures, the authors suggest a Financial Distress Prediction System incorporated the Expected Default Frequency (EDF) into Logit regression model. The empirical findings suggest that the EDF calculated by KMV model is significantly associated with the probability of default in both 3rd and 4th quarters prior to the financial crisis of sample firms. Thus, an incorporation of EDF into the financial distress system does enhance its overall accuracy.
Keywords :
finance; regression analysis; KMV model; expected default frequency; financial distress prediction system; logit regression model; Banking; Biological system modeling; Companies; Correlation; Data models; Finance; Predictive models; KMV model; Logit regression; credit risk; financial distress;
Conference_Titel :
Information Science and Management Engineering (ISME), 2010 International Conference of
Conference_Location :
Xi´an
Print_ISBN :
978-1-4244-7669-5
Electronic_ISBN :
978-1-4244-7670-1
DOI :
10.1109/ISME.2010.107
