matlab实现KMV信用风险模型-违约概率-违约风险

收录时间:2022-11-22
资源分类:Matlab 工具:MATLAB 7.4 (R2007a)

matlab实现KMV信用风险模型-违约概率-违约风险

KMV Credit Risk Model - Probability of Default - Default Risk

KMV-Merton model Probability of Default represented by Jin-Chuan Duan, Genevi`eve Gauthier and Jean-Guy Simonato (2005).

 

This code calculates the probability of default based on Moody’s KMV where firms equity follows a geometric Brownian motion presented by Merton and the probability of default is calculated bas on European call option of the firms market value. Newton-Raphson method is used to calculate the equity value provided the volatility of the equity.

文件下载列表
KMV_MODEL.zip (8.21KB)  
附件内容(只显示4中的1个)
KMV_MODEL.m  
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