Application of structural models in Credit Risk

被引：0
|
作者：
Kralovic, Petr [1 ]
机构：
[1] VSB Tech Univ Ostrava, Fac Econ, Dept Finance, Ostrava 70121 1, Czech Republic
来源：
MATHEMATICAL METHODS IN ECONOMICS 2013, PTS I AND II | 2013年
关键词：
KMV model; credit risk; options; probability of default;
D O I：
暂无
中图分类号：
F [经济];
学科分类号：
02 ;
摘要：
In last years (especially after the financial crisis in 2008), there is a great emphasis on the correct state of the credit risk. The most commonly used method is probably the portfolio model CreditMetrics. Very sophisticated methods, based on the options theory, especially on Merton's model (1974), are structural models. The paper focuses on the application of the structural models in credit risk. Specially, a KMV model will be used at a few Czech firms. First there will be described the main approach of Merton models with details of KMV model. In the application part there is calculated the default probability, using this model. In conclusion, the results are evaluated.
引用
收藏
页码：435 / 439
页数：5
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