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Enactment of Default Point in KMV Model on CMBC, SPDB, CMB, Huaxia Bank and SDB

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  • Feixue Huang
  • Yan He

Abstract

This study¡¯s objective was to solve the problem that probing default point of KMV in listed bank of China. A new model of default point is constructed, because Chinese listed banks on owing to the existence of non-tradable shares. The using of listed banks in China: CMBC, CMB, SDB, SPDB, HUA XIA BANK in the second half of 2004 to 2007 per annum related stocks and financial data. The model of DPT equal to current liabilities (STD) plus 0.25 Long-term debt (LTD) for CMB, SPDB ,CMBC, HUA XIA BANK; The model of DPT equal to current liabilities (STD) plus 0.75 Long-term debt (LTD) for SPB. At the same time, these models have been tested; the results will pass the test. The new model is feasible for probing default point of KMV in listed bank of China.

Suggested Citation

  • Feixue Huang & Yan He, 2010. "Enactment of Default Point in KMV Model on CMBC, SPDB, CMB, Huaxia Bank and SDB," International Journal of Financial Research, International Journal of Financial Research, Sciedu Press, vol. 1(1), pages 30-36, December.
    • Handle: RePEc:jfr:ijfr11:v:1:y:2010:i:1:p:30-36
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    Cited by:

    1. Vo, D.H. & Pham, B.V.-N. & Pham, T.V.-T. & McAleer, M.J., 2019. "Corporate Financial Distress of Industry Level Listings in an Emerging Market," Econometric Institute Research Papers EI2019-15, Erasmus University Rotterdam, Erasmus School of Economics (ESE), Econometric Institute.
    2. Andrikopoulos, Panagiotis & Khorasgani, Amir, 2018. "Predicting unlisted SMEs' default: Incorporating market information on accounting-based models for improved accuracy," The British Accounting Review, Elsevier, vol. 50(5), pages 559-573.
    3. Dinh, Dung V. & Powell, Robert J. & Vo, Duc H., 2021. "Forecasting corporate financial distress in the Southeast Asian countries: A market-based approach," Journal of Asian Economics, Elsevier, vol. 74(C).
    4. Pham Vo Ninh, Binh & Do Thanh, Trung & Vo Hong, Duc, 2018. "Financial distress and bankruptcy prediction: An appropriate model for listed firms in Vietnam," Economic Systems, Elsevier, vol. 42(4), pages 616-624.
    5. Lanlan Liu & Dan Luo & Liang Han, 2019. "Default risk, state ownership and the cross-section of stock returns: evidence from China," Review of Quantitative Finance and Accounting, Springer, vol. 53(4), pages 933-966, November.

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