Models of credit valuation generally predict a hump-shaped spread term structure for low quality issuers. This is understood to be driven by the shape of the underlying conditional default probabilities curve. We show that (a) recovery assumptions and (b) deviation of bond’s price from par can also drive different term structure shapes. On examining a large set of speculative grade bonds and cr...

Abstract: Nilai perusahaan sama dengan penjumlahan nilai saham dan utang (bond atau kewajiban) perusahaan. berfluktuasi. Bila lebih kecil dibanding bond perusahaan, maka default. KMV menentukan bahwa titik default jangka pendek setengah dari panjangnya. Semakin tinggi semakin memetakan jarak ke frekuensi (expected frequency). Keywords: risk/credit sensitive bond,leverage, probaility of default,...

In 2019, when COVID-19 outbroke, the real estate economy, an important component of must be hit to some extent. Affected by epidemic and financing situation, Kaisa enterprise recently suffered a credit risk. The debt was increasing ratings were decreasing. stock suspended for long time. This paper used financial data between 2019 2021 provided Eastern Wealth statements measure risk with KMV mod...

We analyse the mathematical structure of portfolio credit risk models with particular regard to the modelling of dependence between default events in these models. We explore the role of copulas in latent variable models (the approach that underlies KMV and CreditMetrics) and use non-Gaussian copulas to present extensions to standard industry models. We explore the role of the mixing distributi...

Following the rationale of the KMV model, this study builds an empirical model to price corporate credit risk for listed corporations in Hong Kong. To mitigate the bias from accounting data, the model totally relies on market-based information, such as equity value, stock market index, implied volatility of market index, riskfree rate and maturity. This fits in the reality of emerging credit ma...

In credit risk modelling, the correlation of unobservable asset returns is a crucial component for the measurement of portfolio risk. In this paper, we estimate asset correlations from monthly time series of Moody’s KMV asset values for around 2,000 European firms from 1996 to 2004. We compare correlation and value-atrisk (VaR) estimates in a one–factor or market model and a multi-factor or sec...

Some modified structural and reduced-form models of credit risk implicitly assume that the market has less information than managers who declare default on their outstanding debt. As a result the announcement of default or disclosure of information that indicates a firm is in distress comes as a “surprise” to the market. In this paper, we study the extent to which private information is reveale...