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This paper applies DEA model to a sample of 58 power plate listed companies in the securities market in China in 2008, with a view to identifying the financial risk companies and non-financial risk companies, instead of using ST in the past. Then, after comparing logit regression model and neural network LVQ in predicting the company financial risks, the conclusion was drawn that neural network LVQ...
Credit risk management has become a fundamental and crucial work for commercial banks. This paper studies the credit risk measurement of listed corporations by using various types of credit risk models, and analyzes their applicability in China. This paper also makes an empirical analysis to the Chinese listed corporations’ credit risk on the basis of the KMV model. Finally, several proposals on how...
Document Logic is a simple yet powerful framework to infer risks in business processes. We focus on flows of documents and build a set of inference rules based on document authenticity and a simple trust model. We have built a prototype of a system that checks document authenticity in Maude. Maude is an implementation of rewriting logic. Rewriting logic is expressive and general enough to define other...
Merton's equity-based approach is considered as a pioneering tool for measuring default risks. But in developing countries, we find that the invalid priority principle of Merton's model-because of the existing soft constraint-put negative influence on the applicability of the model. Bringing soft constraint into consideration, we establish a new model, which adds a new parameter thetas to describe...
In this paper, by Logit regression technology, we construct a model for recognizing and warning credit risk based on financial and non-financial ratios. The testpsilas results show that the accuracy of the model is up to 86.6%. Obversely, it can offer enterprise some supports for recognizing and warning credit risk in credit sale.
In the face of the status quo of credit risk measurement academic research and practical research in China, the banks' credit risk measurement can be divided into the banks' interior and banks' integral these two levels. Through the analysis, it is found that the most suitable objective conditions of the commercial banks' internal credit risk measurement method in China is KMV model, with strong theoretical...
In the case of full circulation of stocks, the ratio "the total market value of stocks/total debt" introduced in financial crisis early warning model can improve the warning mechanism. Through setting up the early warning mechanism and improving data processing, the consequence of operating the early warning mechanism would forecast better the degree and probability of a financial crisis...
In the competitive power market of generation side, the bidding strategies with taking into account the profit and risk are essential for generation companies. This paper proposes a dynamic risk model of bidding strategy of generation companies based on the EGARCH-EVT-CVaR method. In this model, the tail of return is modeled by the extreme value theory (EVT). The EGARCH model is used to achieve auto-regression...
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