The study of Credit risk in Taiwan stock market – the application of KMV, equity volatility and Jump risk models

碩士 === 東吳大學 === 財務工程與精算數學系 === 98 === KMV credit monitor model has been proposed as a potential approach to circumvent credit risk of companies. This study adopts the KMV’s model to estimate the expected default frequency and the distance of default and tries to explain the EDF (expected default fre...

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Main Authors:	Jia-wei Lin, 林家維
Other Authors:	Gin-chung Lin
Format:	Others
Language:	zh-TW
Published:	2010
Online Access:	http://ndltd.ncl.edu.tw/handle/40863088130278742029

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spelling	ndltd-TW-098SCU053360192015-10-13T18:58:53Z http://ndltd.ncl.edu.tw/handle/40863088130278742029 The study of Credit risk in Taiwan stock market – the application of KMV, equity volatility and Jump risk models 台灣上市公司信用風險評價研究-KMV、波動率及跳躍風險模型之應用 Jia-wei Lin 林家維碩士東吳大學財務工程與精算數學系 98 KMV credit monitor model has been proposed as a potential approach to circumvent credit risk of companies. This study adopts the KMV’s model to estimate the expected default frequency and the distance of default and tries to explain the EDF (expected default frequency), using the volatility and jump risks of individual firms from high-frequency equity prices. In general, the relations between expected default frequency with volatility and jump risks are positives. When the volatility and jump risks become large, the expected default frequency will increase. Gin-chung Lin Ming-Chin Hung 林景春洪明欽 2010 學位論文 ; thesis 60 zh-TW
collection	NDLTD
language	zh-TW
format	Others
sources	NDLTD
description	碩士 === 東吳大學 === 財務工程與精算數學系 === 98 === KMV credit monitor model has been proposed as a potential approach to circumvent credit risk of companies. This study adopts the KMV’s model to estimate the expected default frequency and the distance of default and tries to explain the EDF (expected default frequency), using the volatility and jump risks of individual firms from high-frequency equity prices. In general, the relations between expected default frequency with volatility and jump risks are positives. When the volatility and jump risks become large, the expected default frequency will increase.
author2	Gin-chung Lin
author_facet	Gin-chung Lin Jia-wei Lin 林家維
author	Jia-wei Lin 林家維
spellingShingle	Jia-wei Lin 林家維 The study of Credit risk in Taiwan stock market – the application of KMV, equity volatility and Jump risk models
author_sort	Jia-wei Lin
title	The study of Credit risk in Taiwan stock market – the application of KMV, equity volatility and Jump risk models
title_short	The study of Credit risk in Taiwan stock market – the application of KMV, equity volatility and Jump risk models
title_full	The study of Credit risk in Taiwan stock market – the application of KMV, equity volatility and Jump risk models
title_fullStr	The study of Credit risk in Taiwan stock market – the application of KMV, equity volatility and Jump risk models
title_full_unstemmed	The study of Credit risk in Taiwan stock market – the application of KMV, equity volatility and Jump risk models
title_sort	study of credit risk in taiwan stock market – the application of kmv, equity volatility and jump risk models
publishDate	2010
url	http://ndltd.ncl.edu.tw/handle/40863088130278742029
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The study of Credit risk in Taiwan stock market – the application of KMV, equity volatility and Jump risk models

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