Usage of ZPP Model in Credit Risk Prediction

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KAMALI ELAHE; Fallah Mirfeiz; HANIFI FARHAD

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Journal: FINANCIAL ENGINEERING AND SECURITIES MANAGEMENT (PORTFOLIO MANAGEMENT) Year:2020 | Volume:11 | Issue:44 Page(s): 257-278

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Title

Usage of ZPP Model in Credit Risk Prediction

Author(s)

KAMALI ELAHE | Fallah Mirfeiz | HANIFI FARHAD | Issue Writer Certificate

Keywords

KMVQ1

ZPPQ1

Credit RiskQ1

Probability of DefaultQ1

Abstract

Credit Risk issues and methods for identifying and predicting it have been constantly evolving over the past few decades. When a company deals with a financial problem, it may not be able to fulfill its financial obligations, which can cause direct and indirect financial losses to shareholders, creditors, investors and other people in the community. Advanced Credit Risk models that are based on market value include improving credit quality as well as reducing or decreasing credit ratings. In the present study, we have Investigated two models of advanced Credit Risk models, so two samples were selected, namely companies with financial problems and companies with financial health, in each group probabilities of default are estimated by two models which are KMV and ZPP, and then we compared probabilities of default. We have concluded that the ZPP model has more predictive ability than the KMV model. This method is denoted the Zero-Price Probability or simply the ZPP model. The main focus is on the new simulation based approach rather than the older established models.

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APA: Copy

KAMALI, ELAHE, Fallah, Mirfeiz, & HANIFI, FARHAD. (2020). Usage of ZPP Model in Credit Risk Prediction. FINANCIAL ENGINEERING AND SECURITIES MANAGEMENT (PORTFOLIO MANAGEMENT), 11(44 ), 257-278. SID. https://sid.ir/paper/396731/en

Vancouver: Copy

KAMALI ELAHE, Fallah Mirfeiz, HANIFI FARHAD. Usage of ZPP Model in Credit Risk Prediction. FINANCIAL ENGINEERING AND SECURITIES MANAGEMENT (PORTFOLIO MANAGEMENT)[Internet]. 2020;11(44 ):257-278. Available from: https://sid.ir/paper/396731/en

IEEE: Copy

ELAHE KAMALI, Mirfeiz Fallah, and FARHAD HANIFI, “Usage of ZPP Model in Credit Risk Prediction,” FINANCIAL ENGINEERING AND SECURITIES MANAGEMENT (PORTFOLIO MANAGEMENT), vol. 11, no. 44 , pp. 257–278, 2020, [Online]. Available: https://sid.ir/paper/396731/en

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