The effect of internal liquidity on performance of structural models
Date Issued
2006
Date
2006
Author(s)
Cheng, Hui-Lin
DOI
en-US
Abstract
Researchers have been trying to introduce more relevant credit risk elements to improve the performance of structural models. Distinguished from other literature, we focus on the explaining power of a firm’s internal liquidity on the prediction errors of structural models. Our results show that the cash flow volatility do have a significant explaining power for the prediction errors of some structure credit models.
Subjects
信用風險
結構型模型
credit risk
structural models
Type
thesis
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ntu-95-R93723020-1.pdf
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