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