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An empirical research of probability of default measure model based on Chinese stock market high frequency data

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2 Author(s)
Ma Ruowei ; Sch. of Econ. Beijing Technol., Bus. Univ., Beijing, China ; Bai Yukun

This paper introduce the option theory Black-Scholes-Merton option pricing model KMV model into the measure of default risk make full use of market information and historical data on the base of modern corporate finance and option pricing theory this paper made the “transplant treatment”. Experimental results show that KMV model can serve as an ideal measuring instrument in the default risk what more KMV model based on option pricing is completely feasible to default risk measuring in chances commercial bank.

Published in:

Business Management and Electronic Information (BMEI), 2011 International Conference on  (Volume:3 )

Date of Conference:

13-15 May 2011