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- W2371105361 abstract "Commercial banks consider credit risk management as one of the most serious problems. The optimal way of credit risk management is to forecast the default accurately before the loan.Recent studies often use the structure model to forecast the default of the listed companies because this model can predict a company's market value by mark-to-market. The structure model can givegeneral information about a company. Therefore,it is more accurate and more used in practice. The application process of structural model needs to estimate the company's equity value.According to the recent research,it usually uses time series to model the volatility for the prediction of equity value. However,this model cannot avoid iterative calculation. Thus,with the accumulation of time interval,the prediction will have large deviations.This paper proposes a new method which is named wavelet structural model for default prediction. The model is constructed by sampling 100 companies according to industry types. The process of wavelet structural model is that wavelet decomposition on the proceeds is firstly applied,different models are built separately for low frequency part and high frequency part,and the predictive return is finally reconstructed.The wavelet structural model can avoid accumulated calculation process of the volatility in time series model. The wavelet structural model can better reflect the actual situations of Chinese companies than time series model. As other structure models,wavelet structural model still cannot avoid the calculation of equity value because it has a strong dependence on market environment,which limits its applications in small and medium-sized enterprises." @default.
- W2371105361 created "2016-06-24" @default.
- W2371105361 creator A5028800902 @default.
- W2371105361 date "2014-01-01" @default.
- W2371105361 modified "2023-09-26" @default.
- W2371105361 title "A Wavelet Structural Model for Default Prediction" @default.
- W2371105361 hasPublicationYear "2014" @default.
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