Essays about: "KMV"

Showing result 1 - 5 of 8 essays containing the word KMV.

  1. 1. Models of Bankruptcy Prediction Since the Recent Financial Crisis: KMV, Naïve, and Altman’s Z- score

    University essay from Lunds universitet/Nationalekonomiska institutionen

    Author : I Ting Hsiao; Lei Gao; [2016]
    Keywords : Default risk; Altman’s Z-score; KMV model; Naïve model; Receiver Operating Curve; Business and Economics;

    Abstract : Corporate bankruptcy prediction has become a popular research topic since 1960s, and default risk management plays a more significant role among investors, debtors and the lenders. The Altman’s z-score model, the KMV model, and the Naïve model are well-known and widely used bankruptcy prediction models. READ MORE

  2. 2. Expected Default Measures in the KMV model and the Market-based model

    University essay from Lunds universitet/Nationalekonomiska institutionen

    Author : Kuang He; [2012]
    Keywords : Default risk; Distance-to-default; KMV model; Market based Model; Capital Asset Pricing Model CAPM ; Leverage ratio; Equity volatility; Business and Economics;

    Abstract : Two credit risk models are applied to calculate the expected distance to default in a sample of 32 Chinese listed non-financial companies from 2006 to 2011.One is the KMV(Merton) model under the machinery of option pricing and other is the market based model relied on a conditional version of capital asset pricing model(CAPM). READ MORE

  3. 3. Assessing the default risk of Chinese public companies in the energy industry with the KMV model

    University essay from Lunds universitet/Nationalekonomiska institutionen

    Author : Jie Duan; Shubiao Ren; [2011]
    Keywords : distance-to-default ; The KMV model; Merton; the share structure reform; credit risk; ST stock; Business and Economics;

    Abstract : The structural approach to credit risk modeling has gained a growing attention in both the academics and in the industry. In this dissertation, we outline the basic ideas and structures of the KMV (Merton) model and also explain some related issues before implementing this model. READ MORE

  4. 4. Predicting the default probability of companies in USA and EU during the financial crisis, A study based on the KMV model

    University essay from Lunds universitet/Nationalekonomiska institutionen

    Author : Maria Larsson; Anna Magne; [2010]
    Keywords : KMV Model; Merton Model; Moody’s; Financial Crisis; Business and Economics;

    Abstract : The purpose of this study is to determine whether it is easier to predict the default probability in EU than in the USA or vice versa by analyzing the time period 2006-2009 which is characterized by the financial crisis. We will also establish whether there are any differences in the prediction of default probabilities between non-financial and financial firms. READ MORE

  5. 5. The Influence of Macroeconomic Factors on the Probability of Default

    University essay from Lunds universitet/Nationalekonomiska institutionen

    Author : Magnus Laurin; Olena Martynenko; [2009]
    Keywords : Distance to Default; Probability of Default; KMV; Panel data analysis; macroeconomic factors; structural models; Economics; econometrics; economic theory; economic systems; economic policy; Nationalekonomi; ekonometri; ekonomisk teori; ekonomiska system; ekonomisk politik; Business and Economics;

    Abstract : The purpose of this study is to quantitatively verify the relationship between corporate default probability and macroeconomic information. The purpose is further to compare the results of the panel data analysis for the firms from the Large Cap Index with the empirical findings generated by a similar model for the firms from the Mid & Small Cap Indexes. READ MORE