Abstract/Details

Comparing and combining public corporate default risk measures: An empirical approach


2006 2006

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Abstract (summary)

This dissertation is intended to provide an overview of existing default risk measures for public companies from both theoretical and conceptual perspectives. Risk measures have been collected, examined and summarized into four categories: (1) measures based upon financial statements; (2) measures based upon market information; (3) measures which exhibit ex ante nature; and (4) measures which reflect downside risk. The unique attributes of each risk category suggest the use of discretion in making choices of measures to predict default risk.

Empirical tests have been conducted to differentiate true risk measures from previously falsely claimed risk measures. Principal component analysis produces risk factors that are logically sound and empirically consistent. The original factors are unsystematic risk, downside risk, income stream risk and bankruptcy risk. The latter two factors are consolidated into one factor representing accounting risk in the out-of-sample validation.

A combining forecast is applied as an attempt to develop the default predictive model. Besides the conventional logit model, a hazard model, which is particular suitable for time-sensitive analysis, is introduced to combine selective risk measures. Both models are shown to have superior forecasting ability to what is produced by application of either individual risk measures or the equal weighted average model.

In-sample analysis and out-of-sample validation utilize data obtained from different periods that reflect a dramatic change in the economic environment. Empirical results derived from these data exhibit similarity and consistency, indicating the robustness of both the approach and methodology adopted for this dissertation.

Indexing (details)


Subject
Finance;
Default;
Risk assessment;
Public companies;
Models;
Studies
Classification
0508: Finance
Identifier / keyword
Social sciences; Corporate; Default risk; Risk comparison
Title
Comparing and combining public corporate default risk measures: An empirical approach
Author
Yu, Naiping
Number of pages
117
Publication year
2006
Degree date
2006
School code
0072
Source
DAI-A 67/01, Dissertation Abstracts International
Place of publication
Ann Arbor
Country of publication
United States
ISBN
9780542488214, 0542488213
Advisor
Reagle, Derrick
University/institution
Fordham University
University location
United States -- New York
Degree
Ph.D.
Source type
Dissertations & Theses
Language
English
Document type
Dissertation/Thesis
Dissertation/thesis number
3201140
ProQuest document ID
305333089
Copyright
Database copyright ProQuest LLC; ProQuest does not claim copyright in the individual underlying works.
Document URL
http://search.proquest.com/docview/305333089
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