In this paper, we propose a new method based on genetic algorithms to solve the optimal default point of the KMV model. In our empirical study, we compare the GA-KMV model with the QR-KMV and KMV models. The results indicate that the percentage of correctness of the GA-KMV model is higher than those for the other two models. This is to say, the GA-KMV model has a better goodness of fit. We also obtain the optimal default point for a Taiwan listed company. This can help us to predict the default point and improve the bank’s risk management performance.
Relation:
Expert Systems With Applications 38(8), pp.10107–10113
