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.