Analyzing the Models of Financial Distress in Credit Risk

Qinkai Xu; Xi ai Zhang

doi:10.54254/2754-1169/38/20231875

Research Article

Open access

Published on 10 November 2023

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Xu,Q.;Zhang,X.A. (2023). Analyzing the Models of Financial Distress in Credit Risk. Advances in Economics, Management and Political Sciences,38,1-5.

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Analyzing the Models of Financial Distress in Credit Risk

Qinkai Xu *^,1, Xi ai Zhang ²

¹ Mosman High school
² Queens Elite Academy

* Author to whom correspondence should be addressed.

https://doi.org/10.54254/2754-1169/38/20231875

Abstract

This paper presents a study comparing the effectiveness of accounting-based and market-based models predicting financial distress. We examine various periods, including events from the 1970s to the 1990s, the impact of COVID-19, and the effect of APRA. Our findings demonstrate that an accounting-based distress model performs similarly to the market-based model of defaults. Furthermore, when we combine both sources of information, the resulting model outperforms either individual model. These results suggest that accounting and market-based information are mutually reinforcing when assessing distress levels in pricing.

Keywords

accounting-based models, market-based models, credit risk, forecasting bankruptcy

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References

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Cite this article

Xu,Q.;Zhang,X.A. (2023). Analyzing the Models of Financial Distress in Credit Risk. Advances in Economics, Management and Political Sciences,38,1-5.

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The datasets used and/or analyzed during the current study will be available from the authors upon reasonable request.

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About volume

Volume title: Proceedings of the 7th International Conference on Economic Management and Green Development

Conference website: https://www.icemgd.org/

ISBN：978-1-83558-097-4(Print) / 978-1-83558-098-1(Online)

Conference date: 6 August 2023

Editor：Canh Thien Dang

Series: Advances in Economics, Management and Political Sciences

Volume number: Vol.38

ISSN：2754-1169(Print) / 2754-1177(Online)

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