Credit Risk Predictive Ability of G-ZPP Model Versus V-ZPP Model

摘要: Credit risk management is becoming more and important in recent years. When a company deals with financial problem, it may not be able to fulfill its obligations, which can cause direct indirect losses shareholders, creditors, investors other people the community. Advanced credit models that are based on market value include improving quality as well reducing or decreasing ratings. In current study, we investigate new model called ZPP was introduced 2007. This one of advanced standard deviation calculated GARCH model.  In this survey test accuracy Simple Standard Deviation. order model, have chosen two models: firms problems companies health, each group, estimated probability default by then compared other. Finally, found predictive ability G-ZPP obtained better than Variance-ZPP model.