Empirical Study on Credit Risk of Our Listed Company Based on KMV Model ()
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.
Share and Cite:
Lin, L. , Lou, T. and Zhan, N. (2014) Empirical Study on Credit Risk of Our Listed Company Based on KMV Model.
Applied Mathematics,
5, 2098-2106. doi:
10.4236/am.2014.513204.
Conflicts of Interest
The authors declare no conflicts of interest.
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