Comparative Research on Credit Risk of Hang Seng Bank Before and After COVID-19 Based on KMV Model

DOI

10.2991/aebmr.k.220603.083How to use a DOI?

Keywords

COVID-19; Credit risk; KMV model; Default distance; Hang Seng Bank

Abstract

The COVID-19 outbreak can be described as a giant ‘black swan’ which has shattered the stabilization of the Hong Kong economy since 2019. To study how exactly the COVID-19 pandemic has really affected Hong Kong’s macro economy, this article selects Hang Seng Bank, the most representative index issuing company in Hong Kong stock market, as a case study, and use the KMV model, which is relatively mature and has now become one of the world’s most popular credit risk measurement model, to calculate the Hang Seng Bank’s probability of default. Thus further draw the conclusion, which is the change of the probability of default of Hang Seng Bank is roughly consistent with the trend of the financial environment, and give some suggestions to reduce the bank credit risk.

Copyright

© 2022 The Authors. Published by Atlantis Press International B.V.

Open Access

This is an open access article distributed under the CC BY-NC 4.0 license.

Download article (PDF)

TY  - CONF
AU  - Di Tang
PY  - 2022
DA  - 2022/07/01
TI  - Comparative Research on Credit Risk of Hang Seng Bank Before and After COVID-19 Based on KMV Model
BT  - Proceedings of the 2022 2nd International Conference on Enterprise Management and Economic Development (ICEMED 2022)
PB  - Atlantis Press
SP  - 524
EP  - 529
SN  - 2352-5428
UR  - https://doi.org/10.2991/aebmr.k.220603.083
DO  - 10.2991/aebmr.k.220603.083
ID  - Tang2022
ER  -