Comparative analysis of theoretical aspects in credit risk models

The main aim of presented article is comparison of basic characteristics and mutual comparison of two basic credit risk models. Namely we will compare Merton and KMV models. There is significant increase of credit risk importance in global economy and also in business sector nowadays. We focus on differences in computational procedures, individual credit risk modelling techniques, as well as the variability in input parameters, used for risk quantification. The result will be comprehensive overview of these models differences as well as the presentation of basic recommendations for their usage along with the mention of their advantages and disadvantages. We will also mention test results of various renowned agencies, which reflect the accuracy of these models. (C) 2015 The Authors. Published by Elsevier B.V.