Eine Plattform für die Wissenschaft: Bauingenieurwesen, Architektur und Urbanistik
Eine Plattform für die Wissenschaft: Bauingenieurwesen, Architektur und Urbanistik
Stochastic modelling and prediction of contractor default risk
The purpose of this paper is to describe a systematic framework of stochastic modelling and prediction of financial default risk of construction contractors. Net-worth-to-asset ratio is identified as an index for default process modelling. The default condition is defined as when the ratio becomes negative the first time. A mean-reverting dynamic model for the contractor default process is found by statistical analysis and is justified by using the theory of optimal capital structure. The stochastic modelling of default uses the time to default as the fundamental random variable. A discrete time trinomial Markov chain model is developed to assess default risk in terms of a cumulative default probability function, a default probability function, and the mean and variance of time to default. Practical examples are given to illustrate the stochastic methods. A default discriminant study on a group of contractors and publicly traded companies validates the methods, and indicates a high predictability of events of default and declines of credit rating.
Stochastic modelling and prediction of contractor default risk
The purpose of this paper is to describe a systematic framework of stochastic modelling and prediction of financial default risk of construction contractors. Net-worth-to-asset ratio is identified as an index for default process modelling. The default condition is defined as when the ratio becomes negative the first time. A mean-reverting dynamic model for the contractor default process is found by statistical analysis and is justified by using the theory of optimal capital structure. The stochastic modelling of default uses the time to default as the fundamental random variable. A discrete time trinomial Markov chain model is developed to assess default risk in terms of a cumulative default probability function, a default probability function, and the mean and variance of time to default. Practical examples are given to illustrate the stochastic methods. A default discriminant study on a group of contractors and publicly traded companies validates the methods, and indicates a high predictability of events of default and declines of credit rating.
Stochastic modelling and prediction of contractor default risk
Zhai, Huaming (Autor:in) / Russell, Jeffrey S. (Autor:in)
Construction Management and Economics ; 17 ; 563-576
01.09.1999
14 pages
Aufsatz (Zeitschrift)
Elektronische Ressource
Englisch
Stochastic modelling and prediction of contractor default risk
| British Library Online Contents | 1999
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