Analysis of the impact of macroeconomic factors on inter-industry credit risk contagion based on the modified KMV model

MaRDI QIDQ3389098zbMATH OpenFDO

Authors Chuanhe Shen, Meng-Jie Tian, Yuan-Zhai Fu

Publication date 7 May 2021

Full work available at URL http://www.yokohamapublishers.jp/online-p/JNCA/vol21/jncav21n7p1591.pdf

zbMATH Keywords

copula functionnonlinearitydefault correlationmacroeconomicsmodified KMV model

Mathematics Subject Classification ID

Characterization and structure theory for multivariate probability distributions; copulas (62H05) Applications of statistics to actuarial sciences and financial mathematics (62P05) Credit risk (91G40)

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(3)

• Modelling tail credit risk using transition matrices
• Application of FSVM-KMV model in credit risk assessment of non-listed companies based on stock price heterogeneity volatility
• Innovation of credit risk measurement of listed coal companies based on FSVM-KMV

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