Comparison between Static and Dynamic Models of Credit Risk Measurement: Evidence from Chinese Listed Companies
Xu, Chaoben (2014) Comparison between Static and Dynamic Models of Credit Risk Measurement: Evidence from Chinese Listed Companies. [Dissertation (University of Nottingham only)] (Unpublished)
This study attempts to choose an applicable credit risk measurement model to forecast the future status of Chinese listed firms among three traditional credit risk models: Z-score model, logit model and hazard model by using the sample of A-shares listed firms in Shanghai and Shenzhen Stock Exchange during the period from 2008 to 2014. Z-score model and logit model are static models that only use one period data to forecast, while hazard model as a dynamic model uses multi-period data.
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