DocumentCode
3009182
Title
Default Probability of Listed Companies Based on the Generalized Error Distribution
Author
Li, Yingqiu ; He, Wei ; Yan, Xiaobing
Author_Institution
Coll. of Math. & Comput. Sci., Changsha Univ. of Sci. & Technol., Changsha, China
fYear
2010
fDate
29-31 Oct. 2010
Firstpage
1
Lastpage
4
Abstract
Suppose the stock returns series has a fat tail distribution characteristics of GED, and select the stock return series of three types of listed companies from 2007 to 2009 as the sample data, empirical analysis credit situation and probability of default of the listed companies in China before and after the financial crisis. Research indicates that the model can be well with the actual economic situation in China.
Keywords
financial management; statistical analysis; stock markets; China; GED; credit situation; default probability; economic situation; fat tail distribution characteristics; financial crisis; generalized error distribution; sampled data; stock return series; Biological system modeling; Companies; Fluctuations; Mathematical model; Security; Stock markets;
fLanguage
English
Publisher
ieee
Conference_Titel
Multimedia Technology (ICMT), 2010 International Conference on
Conference_Location
Ningbo
Print_ISBN
978-1-4244-7871-2
Type
conf
DOI
10.1109/ICMULT.2010.5631369
Filename
5631369
Link To Document