Essays about: "KMV Model"

Showing result 1 - 5 of 9 essays containing the words KMV Model.

1. 1. Research on Credit Risk Measurement of China’s Listed Companies with KMV Model

   University essay from Lunds universitet/Nationalekonomiska institutionen

   Author : Tong Liu; Xiuyi Chen; [2020]
   Keywords : Credit risk measurement model; KMV model; Z-Score model; ST companies; ROC curve.; Business and Economics;

   Abstract : This thesis takes 200 Chinese listed companies as examples within ten years from 2009 to 2018, of which 100 are ST companies and the other 100 are non-ST companies. ST company is a company that has financial problems and was then implemented with special treatment by the China Securities Regulatory Commission. READ MORE

3. 2. 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

4. 3. 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

5. 4. 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

6. 5. 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