Determination of KMV model's optimal default point based on genetic algorithm

DOI10.7511/DLLGXB201602011MaRDI QIDQ2823753zbMATH OpenFDO

Authors Jinghai Feng, Jing Tian

Publication date 6 October 2016

Published in Journal of Dalian University of Technology (Search for Journal in Brave)

Full work available at URL https://doi.org/10.7511/DLLGXB201602011

zbMATH Keywords

credit riskgenetic algorithmoption pricing

Mathematics Subject Classification ID

Approximation methods and heuristics in mathematical programming (90C59) Credit risk (91G40)

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(2)

• Innovation of credit risk measurement of listed coal companies based on FSVM-KMV
• On corporate credit risk evaluation based on underlying beta

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