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
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;
Conference_Titel :
Multimedia Technology (ICMT), 2010 International Conference on
Conference_Location :
Ningbo
Print_ISBN :
978-1-4244-7871-2
DOI :
10.1109/ICMULT.2010.5631369
