A flow-based corporate credit model

Tsung-Kang Chen, Hsien Hsing Liao*, Chia Wu Lu

*此作品的通信作者

研究成果: Article同行評審

8 引文 斯高帕斯(Scopus)

摘要

The main purpose of this paper is to develop a flow-based corporate credit model. This model can concurrently and endogenously generate a firm's multi-period probabilities of liquidity crunch and expected liquidity shortfalls. This study builds a state-dependent internal liquidity model that incorporates both systematic and idiosyncratic shocks into corporate internal liquidity dynamics. The flow-based credit model differs from structural form credit models in that it considers a flow-based insolvency rather than a stock-based one, and has a potential to capture short-term credit information. Additionally, it differs from both reduced form and traditional accounting-based bankruptcy prediction models in that it is able to provide multi-period expected liquidity shortfalls endogenously.

原文English
頁(從 - 到)517-532
頁數16
期刊Review of Quantitative Finance and Accounting
36
發行號4
DOIs
出版狀態Published - 1 5月 2011

指紋

深入研究「A flow-based corporate credit model」主題。共同形成了獨特的指紋。

引用此