DocumentCode
2116225
Title
An Empirical Study on Financial Distress Prediction Taking into Account the Expected Default Frequency
Author
Song, Xiaoli
Author_Institution
Sch. of Manage., Zhejiang Univ., Hangzhou, China
Volume
2
fYear
2010
fDate
7-8 Aug. 2010
Firstpage
507
Lastpage
510
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;
fLanguage
English
Publisher
ieee
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
Type
conf
DOI
10.1109/ISME.2010.107
Filename
5573776
Link To Document