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Applied Economics Letters Volume 25, 2018 - Issue 15
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Original Articles

Does default point vary with firm size?

Yaojie ZhangSchool of Economics and Management, Southwest Jiaotong University, Chengdu, ChinaCorrespondence[email protected]
ORCID Iconhttp://orcid.org/0000-0002-4220-1623View further author information
ORCID Icon &
Benshan ShiSchool of Economics and Management, Southwest Jiaotong University, Chengdu, ChinaView further author information
Pages 1078-1082 | Received 20 Dec 2016, Accepted 24 Oct 2017, Published online: 30 Oct 2017

References

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  • DeLong, E. R., D. M. DeLong, and D. L. Clarke-Pearson. 1988. “Comparing the Areas under Two or More Correlated Receiver Operating Characteristic Curves: A Nonparametric Approach.” Biometrics 44: 837–845. doi:10.2307/2531595.
  • Duffie, D., L. Saita, and K. Wang. 2007. “Multi-Period Corporate Default Prediction with Stochastic Covariates.” Journal of Financial Economics 83: 635–665. doi:10.1016/j.jfineco.2005.10.011.
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  • Lee, W.-C. 2011. “Redefinition of the KMV Model’s Optimal Default Point Based on Genetic algorithms–Evidence from Taiwan.” Expert Systems with Applications 38: 10107–10113. doi:10.1016/j.eswa.2011.02.084.
  • Lopez, J. A. 2004. “The Empirical Relationship between Average Asset Correlation, Firm Probability of Default, and Asset Size.” Journal of Financial Intermediation 13: 265–283. doi:10.1016/S1042-9573(03)00045-7.
  • Zhang, Y., and B. Shi. 2016. “Non-Tradable Shares Pricing and Optimal Default Point Based on Hybrid KMV Models: Evidence from China.” Knowledge-Based Systems 110: 202–209. doi:10.1016/j.knosys.2016.07.028.

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