Essays about: "Kuang He"

Found 1 essay containing the words Kuang He.

  1. 1. Expected Default Measures in the KMV model and the Market-based model

    University essay from Lunds universitet/Nationalekonomiska institutionen

    Author : Kuang He; [2012]
    Keywords : Default risk; Distance-to-default; KMV model; Market based Model; Capital Asset Pricing Model CAPM ; Leverage ratio; Equity volatility; Business and Economics;

    Abstract : Two credit risk models are applied to calculate the expected distance to default in a sample of 32 Chinese listed non-financial companies from 2006 to 2011.One is the KMV(Merton) model under the machinery of option pricing and other is the market based model relied on a conditional version of capital asset pricing model(CAPM). READ MORE