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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Main Authors: | , , |
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Other Authors: | |
Format: | Final Year Project |
Language: | English |
Published: |
2009
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Subjects: | |
Online Access: | http://hdl.handle.net/10356/15066 |
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Institution: | Nanyang Technological University |
Language: | English |