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1. 1. A Comparative Study between the KMV and the Zero-Price Probability for Default Prediction

   University essay from Lunds universitet/Nationalekonomiska institutionen

   Author : Paul Göransson; Ivar Alfred Gretarsson; [2008]
   Keywords : credit risk; KMV; Zero-Price Probability; ZPP; Monte Carlo Simulation; Default-probability; Economics; econometrics; economic theory; economic systems; economic policy; Nationalekonomi; ekonometri; ekonomisk teori; ekonomiska system; ekonomisk politik; Business and Economics;

   Abstract : This master’s thesis is a comparative study between a structural model and a simulation based model for predicting default-probabilities. The structural model used is the KMV model and the simulation based is a new model called Zero-Price Probability. The main focus is on the new simulation based approach rather than the older established models. READ MORE