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Redefinition of the KMV model’s optimal default point based on genetic algorithms – Evidence from Taiwan
- Source :
-
Expert Systems with Applications . Aug2011, Vol. 38 Issue 8, p10107-10113. 7p. - Publication Year :
- 2011
-
Abstract
- Abstract: In this paper, we propose a new method based on genetic algorithms to solve the optimal default point of the KMV model. In our empirical study, we compare the GA-KMV model with the QR-KMV and KMV models. The results indicate that the percentage of correctness of the GA-KMV model is higher than those for the other two models. This is to say, the GA-KMV model has a better goodness of fit. We also obtain the optimal default point for a Taiwan listed company. This can help us to predict the default point and improve the bank’s risk management performance. [Copyright &y& Elsevier]
Details
- Language :
- English
- ISSN :
- 09574174
- Volume :
- 38
- Issue :
- 8
- Database :
- Academic Search Index
- Journal :
- Expert Systems with Applications
- Publication Type :
- Academic Journal
- Accession number :
- 59773764
- Full Text :
- https://doi.org/10.1016/j.eswa.2011.02.084