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Modeling Default Probability by KMV Model. / Weissova, Ivana; Siekelova, Anna; Dengov, Viktor; Misankova, Maria.

5TH INTERNATIONAL CONFERENCE ON APPLIED SOCIAL SCIENCE (ICASS 2015), PT 2. INFORMATION ENGINEERING RESEARCH INSTITUTE PRESS, 2015. p. 411-416 (Advances in Education Research; Vol. 81).

Research output: Chapter in Book/Report/Conference proceeding › Conference contribution › peer-review

Harvard

Weissova, I, Siekelova, A, Dengov, V & Misankova, M 2015, Modeling Default Probability by KMV Model. in 5TH INTERNATIONAL CONFERENCE ON APPLIED SOCIAL SCIENCE (ICASS 2015), PT 2. Advances in Education Research, vol. 81, INFORMATION ENGINEERING RESEARCH INSTITUTE PRESS, pp. 411-416, 5th International Conference on Applied Social Science (ICASS 2015), Limassol, Cyprus, 4/10/15. https://doi.org/WOS:00038058210007

APA

Weissova, I., Siekelova, A., Dengov, V., & Misankova, M. (2015). Modeling Default Probability by KMV Model. In 5TH INTERNATIONAL CONFERENCE ON APPLIED SOCIAL SCIENCE (ICASS 2015), PT 2 (pp. 411-416). (Advances in Education Research; Vol. 81). INFORMATION ENGINEERING RESEARCH INSTITUTE PRESS. https://doi.org/WOS:00038058210007

Vancouver

Weissova I, Siekelova A, Dengov V, Misankova M. Modeling Default Probability by KMV Model. In 5TH INTERNATIONAL CONFERENCE ON APPLIED SOCIAL SCIENCE (ICASS 2015), PT 2. INFORMATION ENGINEERING RESEARCH INSTITUTE PRESS. 2015. p. 411-416. (Advances in Education Research). https://doi.org/WOS:00038058210007

Author

Weissova, Ivana ; Siekelova, Anna ; Dengov, Viktor ; Misankova, Maria. / Modeling Default Probability by KMV Model. 5TH INTERNATIONAL CONFERENCE ON APPLIED SOCIAL SCIENCE (ICASS 2015), PT 2. INFORMATION ENGINEERING RESEARCH INSTITUTE PRESS, 2015. pp. 411-416 (Advances in Education Research).

BibTeX

@inproceedings{15b086a92e0343da86d1d91814aa14e3,
title = "Modeling Default Probability by KMV Model",
abstract = "This document explains and demonstrates one of the most popular models which determine company's default probability. This model is based on the structural approach, it is KMV model. KMV model is also known as Credit Monitor Model. It was created by Moody's Corporation. KMV model is based on the Merton Optional Concept where credit risk is controlled by dynamic value of company's assets. KMV model is best used for publicly traded companies whose the value of assets is determined by market. The main aim of KMV model is predict the expected default frequency, therefore default probability for individual debtors. This probability is based on the company's capital structure, on the market value of company's assets and their volatility. In the theoretical part this document explains the process of using KMV model. In the practical part is KMV model used on the model example.",
keywords = "KMV model, Default probability, Credit risk, CREDIT RISK MODELS, VALUATION",
author = "Ivana Weissova and Anna Siekelova and Viktor Dengov and Maria Misankova",
year = "2015",
doi = "WOS:00038058210007",
language = "English",
isbn = "978-1-61275-072-9",
series = "Advances in Education Research",
publisher = "INFORMATION ENGINEERING RESEARCH INSTITUTE PRESS",
pages = "411--416",
booktitle = "5TH INTERNATIONAL CONFERENCE ON APPLIED SOCIAL SCIENCE (ICASS 2015), PT 2",
address = "United States",
note = "5th International Conference on Applied Social Science (ICASS 2015) ; Conference date: 04-10-2015 Through 05-10-2015",

}

RIS

TY - GEN

T1 - Modeling Default Probability by KMV Model

AU - Weissova, Ivana

AU - Siekelova, Anna

AU - Dengov, Viktor

AU - Misankova, Maria

PY - 2015

Y1 - 2015

N2 - This document explains and demonstrates one of the most popular models which determine company's default probability. This model is based on the structural approach, it is KMV model. KMV model is also known as Credit Monitor Model. It was created by Moody's Corporation. KMV model is based on the Merton Optional Concept where credit risk is controlled by dynamic value of company's assets. KMV model is best used for publicly traded companies whose the value of assets is determined by market. The main aim of KMV model is predict the expected default frequency, therefore default probability for individual debtors. This probability is based on the company's capital structure, on the market value of company's assets and their volatility. In the theoretical part this document explains the process of using KMV model. In the practical part is KMV model used on the model example.

AB - This document explains and demonstrates one of the most popular models which determine company's default probability. This model is based on the structural approach, it is KMV model. KMV model is also known as Credit Monitor Model. It was created by Moody's Corporation. KMV model is based on the Merton Optional Concept where credit risk is controlled by dynamic value of company's assets. KMV model is best used for publicly traded companies whose the value of assets is determined by market. The main aim of KMV model is predict the expected default frequency, therefore default probability for individual debtors. This probability is based on the company's capital structure, on the market value of company's assets and their volatility. In the theoretical part this document explains the process of using KMV model. In the practical part is KMV model used on the model example.

KW - KMV model

KW - Default probability

KW - Credit risk

KW - CREDIT RISK MODELS

KW - VALUATION

U2 - WOS:00038058210007

DO - WOS:00038058210007

M3 - Conference contribution

SN - 978-1-61275-072-9

T3 - Advances in Education Research

SP - 411

EP - 416

BT - 5TH INTERNATIONAL CONFERENCE ON APPLIED SOCIAL SCIENCE (ICASS 2015), PT 2

PB - INFORMATION ENGINEERING RESEARCH INSTITUTE PRESS

T2 - 5th International Conference on Applied Social Science (ICASS 2015)

Y2 - 4 October 2015 through 5 October 2015

ER -

ID: 39055264