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Comparing and combining public corporate default risk measures: An empirical approach.

机译:比较和合并公共公司违约风险度量:一种经验方法。

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摘要

This dissertation is intended to provide an overview of existing default risk measures for public companies from both theoretical and conceptual perspectives. Risk measures have been collected, examined and summarized into four categories: (1) measures based upon financial statements; (2) measures based upon market information; (3) measures which exhibit ex ante nature; and (4) measures which reflect downside risk. The unique attributes of each risk category suggest the use of discretion in making choices of measures to predict default risk.; Empirical tests have been conducted to differentiate true risk measures from previously falsely claimed risk measures. Principal component analysis produces risk factors that are logically sound and empirically consistent. The original factors are unsystematic risk, downside risk, income stream risk and bankruptcy risk. The latter two factors are consolidated into one factor representing accounting risk in the out-of-sample validation.; A combining forecast is applied as an attempt to develop the default predictive model. Besides the conventional logit model, a hazard model, which is particular suitable for time-sensitive analysis, is introduced to combine selective risk measures. Both models are shown to have superior forecasting ability to what is produced by application of either individual risk measures or the equal weighted average model.; In-sample analysis and out-of-sample validation utilize data obtained from different periods that reflect a dramatic change in the economic environment. Empirical results derived from these data exhibit similarity and consistency, indicating the robustness of both the approach and methodology adopted for this dissertation.
机译:本文旨在从理论和概念两个方面对上市公司现有的违约风险度量进行概述。风险度量已被收集,检查和归纳为四类:(1)基于财务报表的度量; (二)根据市场信息采取的措施; (三)具有事前性质的措施; (4)反映下行风险的措施。每种风险类别的独特属性建议在选择措施以预测违约风险时要运用判断力。已经进行了经验测试,以区分真实的风险度量和先前错误声明的风险度量。主成分分析产生的风险因素在逻辑上是合理的,在经验上是一致的。最初的因素是非系统性风险,下行风险,收入流风险和破产风险。后两个因素合并为一个代表样本外验证中会计风险的因素。应用组合预测作为开发默认预测模型的尝试。除了传统的logit模型外,还引入了一种特别适合于时间敏感分析的危害模型,以结合选择性风险度量。这两种模型都显示出比通过应用单个风险度量或同等加权平均模型产生的结果更高的预测能力。样本内分析和样本外验证利用从不同时期获得的数据,这些数据反映了经济环境的急剧变化。从这些数据得出的经验结果具有相似性和一致性,表明本文所采用的方法和方法均具有鲁棒性。

著录项

  • 作者

    Yu, Naiping.;

  • 作者单位

    Fordham University.;

  • 授予单位 Fordham University.;
  • 学科 Economics Finance.
  • 学位 Ph.D.
  • 年度 2006
  • 页码 117 p.
  • 总页数 117
  • 原文格式 PDF
  • 正文语种 eng
  • 中图分类 财政、金融;
  • 关键词

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