Study on Default Risk Based on LT Model: Evidence from Chinese List Companies

Yajie Wang, Hui Li, Zhufeng Yu

Abstract


The specific credit risks can be efficiently used to defense the damage of default behavior, in which, the core problem is how to evaluate the default probability (expected default frequency, EDF) of entities. This paper measures and predicts the default probability of the listed companies in China including two kinds of sample companies such as special treatment and rating ones with the data during 2008-2009 using LT Model which argues default barrier is endogenous through the optimization of the capital structure. The result shows this approach is proper when measuring short-term default risk of listed companies.

Full Text:

PDF



International Journal of Online and Biomedical Engineering (iJOE) – eISSN: 2626-8493
Creative Commons License
Indexing:
Scopus logo Clarivate Analyatics ESCI logo IET Inspec logo DOAJ logo DBLP logo EBSCO logo Ulrich's logo Google Scholar logo MAS logo