Biotechnologie: Eine indische Zeitschrift
ISSN (PRINT): 0974-7435

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The study on credit risk measurement based on the combined models

Zhang Bao-Shuai, Qin Xiao-Tie


The innovative point of this paper is to use the GARCH-t Model to fit the actual fluctuation of assets and calculate the volatility of the value of stock rights, and then to build a new model to measure the credit risk in association with option theory—the KMVGARCH- t Model, and finally study the new model’s capability to evaluate the credit risk of listed companies in the stock market in China based on 10 ST companies and 10 paired non-ST companies. The results indicate: the distance to default can better measure in Credit Risk Evaluation of Public Companies, this means the KMV-GARCH-t models has some applicability in China.


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  • Nationale Wissensinfrastruktur Chinas (CNKI)
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  • Kosmos IF
  • Verzeichnis der Indexierung von Forschungszeitschriften (DRJI)
  • Geheime Suchmaschinenlabore
  • Euro-Pub
  • ICMJE

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