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

• 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: DRNTU::Business::Finance::Risk management
• Online Access: http://hdl.handle.net/10356/15066
• Institution: Nanyang Technological University

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...