文档介绍：商业银行管理
Spring 2013
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信用风险定量分析及控制
KMV模型
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主要内容
KMV模型及相关历史简介
KMV模型基本原理
KMV模型的预测效力
案例
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KMV公司简介
是美国旧金山市KMV公司(成立于1989年)于1997年建立的用来估计借款企业违约概率的方法
Named after the pany founder, Kealhofer, MeQuow and Vasieek
“NEW YORK, April 15, 2002 - Moody's Corporation (NYSE: MCO) today announced that it pleted the acquisition of KMV, the leader in quantitative credit risk management tools, in an all cash transaction for $210 million”.
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KMV模型简介
KMV model
A structural model inspired from Merton's (1974) option pricing theory
Equivalent to an option model that evaluates the implied volatility of pany's assets
Relies on Black & Scholes valuation model (1973)
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KMV模型简介
KVM模型- 是一个期权定价模型,是期权理论在信用风险领域中的运用
信用关系被解释成一种期权交易
银行向借款人发放贷款后, 相当于向借款人开了一份期权
期权的实施价是贷款额
标的是贷款人的资产
这一期权可以被视为买权交易, 也可以被视为卖权交易
借款人违约概率是由债务人的资产市场价值决定的
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Moody’s KMV Model
Moody's KMV led the way in helping investors, lenders, and corporations understand and adopt the most advanced methods and tools to measure and manage credit risk
In the late 1980s, created the Moody's KMV EDF™(Expected Default Frequency) credit measure, which dramatically changed the way credit risk was measured throughout the world
More recently, introduced the Moody's KMV RiskCalc® network of parable pany models that similarly revolutionized the way in which middle-market credit is analyzed both by banks and in the structured finance markets
Released Moody's KMV LossCalc™, the mercially available predictive model of Loss Given Default (LGD)
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Moody’s KMV Model
Rich data: 30 years of information on over 6,000 public and 220,000 pany default eve