Title :
Generalized Autoregressive Conditional Heteroskedasticity in Credit Risk Measurement
Author :
Ou, ChengQi ; Xie, Charlene ; Xu, Jun ; Hu, YunLiang
Author_Institution :
Shenzhen Grad. Sch., Harbin Inst. of Technol., Shenzhen, China
Abstract :
This paper presents a modified model for Chinese credit risk management. The model is based on KMV model with consideration of Generalized Autoregressive Conditional Heteroskedasticit (GARCH). Data used in this research are from the balance sheet and the Chinese stock market. T-tests and ROC curves are employed to analyze the data, examining the model. It is shown that the model can be applied to identification and measurement of the credit risk of companies and hence offers an efficient way to banks in risk management.
Keywords :
autoregressive processes; credit transactions; data analysis; financial management; risk management; stock markets; Chinese credit risk management; Chinese stock market; KMV model; ROC curve; T-test; balance sheet; data analysis; generalized autoregressive conditional heteroskedasticity; Data analysis; Databases; Equations; Forward contracts; Frequency estimation; Paper technology; Predictive models; Risk management; Security; Stock markets;
Conference_Titel :
Management and Service Science, 2009. MASS '09. International Conference on
Conference_Location :
Wuhan
Print_ISBN :
978-1-4244-4638-4
Electronic_ISBN :
978-1-4244-4639-1
DOI :
10.1109/ICMSS.2009.5304395
