An empirical comparison of structural and accounting-based credit risk models.

This paper looks into 3 types of credit risk models: Altman Z-Score (2002), KMV-Merton (1974) and Longstaff and Schwartz (1997). These models are analyzed and tested using a sample of listed industrial firms in the Standard & Poor’s 500. With the aim of finding the most reliable and predictiv...

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Bibliographic Details
Main Authors: Leong, Wai Fun., Loh, Shueh Yi., Toh, Elaine Yi Lian.
Other Authors: Leon Chuen Hwa
Format: Final Year Project
Language:English
Published: 2009
Subjects:
Online Access:http://hdl.handle.net/10356/15066
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Institution: Nanyang Technological University
Language: English