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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.
Язык оригинала | английский |
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Название основной публикации | 5TH INTERNATIONAL CONFERENCE ON APPLIED SOCIAL SCIENCE (ICASS 2015), PT 2 |
Издатель | INFORMATION ENGINEERING RESEARCH INSTITUTE PRESS |
Страницы | 411-416 |
ISBN (печатное издание) | 978-1-61275-072-9 |
DOI | |
Состояние | Опубликовано - 2015 |
Событие | 5th International Conference on Applied Social Science (ICASS 2015) - Limassol, Кипр Продолжительность: 4 окт 2015 → 5 окт 2015 |
Название | Advances in Education Research |
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Издатель | INFORMATION ENGINEERING RESEARCH INST, USA |
Том | 81 |
ISSN (печатное издание) | 2160-1070 |
конференция | 5th International Conference on Applied Social Science (ICASS 2015) |
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Страна/Tерритория | Кипр |
Город | Limassol |
Период | 4/10/15 → 5/10/15 |
ID: 39055264