文章基本信息
- 标题：EXPECTED DEFAULT FREQUENCIES FOR THE COMPANIES LISTED AT THE BUCHAREST STOCK EXCHANGE
- 本地全文：下载
- 作者：Miclaus Paul-Gabriel ; Bobirca Ana ; Lupu Radu 等
- 期刊名称：Annals of the University of Oradea : Economic Science
- 印刷版ISSN：1222-569X
- 电子版ISSN：1582-5450
- 出版年度：2008
- 卷号：XVII
- 期号：03
- 页码：337-342
- 出版社：University of Oradea
- 摘要：
This paper uses the structural models methodology to estimate the credit risk for the Romanian companies that are listed at the Bucharest Stock Exchange. Under the new Basel Capital Accord that is also spreading to the capital markets, financial institutions are allowed to report using internal ratings. We present a methodology for computing the probabilities of default on the Romanian capital, which constitutes the first part of the development of a rating system based on market values.
- 关键词：
Expected Default Frequencies, Structured Credit Risk Model, Romanian Capital Market,Credit Rating
