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 AM  Vol.5 No.13 , July 2014
Empirical Study on Credit Risk of Our Listed Company Based on KMV Model
Liang Lin*, Ting Lou, Ni Zhan
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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.
Keywords: KMV Model, Credit Risk, Default Point
Cite this paper: 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.
References

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