Title :
The empirical study on the credit risk discrimination of listed SMEs based on the distance to default
Author_Institution :
Manage. Sch., Fuzhou Univ., Fuzhou, China
Abstract :
Through comparison of the efficiency of the credit default discrimination among the KMV model based on the distance to default, the logistic model with the distance-to-default DD and the logistic model without the distance-to-default DD, we find the distance to default can improve the efficiency of Logistic model to discriminate the default risk of the SMEs, and the discrimination effect of the distance to default in KMV model is obviously superior to other discrimination analyses based on the financial indicators.
Keywords :
financial management; pricing; risk management; share prices; small-to-medium enterprises; stock markets; KMV model; SME; credit risk discrimination; distance-to-default; financial indicator; logistic model; stock price; Companies; Covariance matrix; Gaussian distribution; Information analysis; Linear discriminant analysis; Logistics; Neural networks; Predictive models; Regression analysis; Risk analysis; KMV model; Logistic regression; credit risk; distance-to-default;
Conference_Titel :
Service Systems and Service Management, 2009. ICSSSM '09. 6th International Conference on
Conference_Location :
Xiamen
Print_ISBN :
978-1-4244-3661-3
Electronic_ISBN :
978-1-4244-3662-0
DOI :
10.1109/ICSSSM.2009.5174990
