期刊論文
| 學年 | 100 |
|---|---|
| 學期 | 1 |
| 出版（發表）日期 | 2011-08-01 |
| 作品名稱 | Redefinition of the KMV model's optimal default point based on genetic algorithms – Evidence from Taiwan |
| 作品名稱（其他語言） | |
| 著者 | Lee, Wo-Chiang |
| 單位 | 淡江大學財務金融學系 |
| 出版者 | Kidlington: Pergamon |
| 著錄名稱、卷期、頁數 | Expert Systems With Applications 38(8), pp.10107–10113 |
| 摘要 | In this paper, we propose a new method based on genetic algorithms to solve the optimal default point of the KMV model. In our empirical study, we compare the GA-KMV model with the QR-KMV and KMV models. The results indicate that the percentage of correctness of the GA-KMV model is higher than those for the other two models. This is to say, the GA-KMV model has a better goodness of fit. We also obtain the optimal default point for a Taiwan listed company. This can help us to predict the default point and improve the bank’s risk management performance. |
| 關鍵字 | Credit risk; KMV; Default probability; Quantile regression; Genetic algorithms |
| 語言 | en |
| ISSN | 0957-4174 |
| 期刊性質 | 國外 |
| 收錄於 | SCI |
| 產學合作 | |
| 通訊作者 | Lee, Wo-Chiang |
| 審稿制度 | |
| 國別 | GBR |
| 公開徵稿 | |
| 出版型式 | 紙本 |
| 相關連結 |
機構典藏連結 ( http://tkuir.lib.tku.edu.tw:8080/dspace/handle/987654321/72297 ) |