TITLE:
Empirical Study on Credit Risk of Our Listed Company Based on KMV Model
AUTHORS:
Liang Lin, Ting Lou, Ni Zhan
KEYWORDS:
KMV Model, Credit Risk, Default Point
JOURNAL NAME:
Applied Mathematics,
Vol.5 No.13,
July
22,
2014
ABSTRACT:
KMV model is one of
the most important credit risk evaluation models in the world. It uses B-S option
pricing and Morton formula based on the market value and volatility of the
company’s equity, debt maturities, risk-free interest rates and the book value
of liabilities to estimate the market value of the company’s assets and the
volatility of the asset value. In this paper, based on the theory of KMV model,
we can derive the listed company’s default rate, and assess credit risk. And
the result is reasonable.