Application of KMV model in credit risk evaluation

被引：0
|
作者：
Jiang Yuantao [1 ]
Deng Ziwen [1 ]
机构：
[1] Shanghai Univ Finance & Econ, Sch Informat Management & Engn, Shanghai 200433, Peoples R China
来源：
Proceedings of 2005 International Conference on Innovation & Management | 2005年
关键词：
KMV; credit risk; options; EDF;
D O I：
暂无
中图分类号：
C93 [管理学];
学科分类号：
12 ; 1201 ; 1202 ; 120202 ;
摘要：
This paper provides a simple but very general framework of KTV. Based on the option pricing approach, it introduces the link between loan and optionality. Finally it gives three steps to determine expected default frenquency & introduces the application of KTV model in certain company.
引用
收藏
页码：512 / 515
页数：4
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