Structural Models and Bank Credit Risk-- An Empirical Analysis
Date Issued
2007
Date
2007
Author(s)
Kuo, Wei-Ling
DOI
en-US
Abstract
Most existing empirical studies on structural form credit models exclude bank industry because of its high leveraged capital structure. In this study, among the first few studies, we examine the prediction performance of four famous structural form models in bank credit risk. The models are Merton (M, 1974), Longstaff and Schwartz (LS, 1995), Leland and Toft (LT, 1996) and Collin-Dufresne and Goldstein (CDG, 2001). We use the bank data from the US to do this investigation. We find that the CDG model has the best prediction ability for the banks with low mean asset returns and LS model predicts better for the banks with high mean asset returns. In addition, since LT model takes into consideration a firm’s payout policy, it performs well in banks with high payout ratios.
Subjects
信用風險結構式模型
銀行業信用風險
Credit Risk, Structural Form Models
Banks
Type
thesis