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文档介绍：Modeling Default Risk
Modeling Default Risk
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Published by: Author(s):
KMV, LLC Peter J. Crosbie
1620 Montgomery Street, Suite 140 Jeffrey R. Bohn
San Francisco, CA 94111 .
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KMV LLC ii Release Date: 15-November-1993
Revised: 14-January-2002
Modeling Default Risk
Table of Contents
Overview .....................................................................................................................................................................1
Measuring Default Probability: The Problem.....................................................................................................2
Measuring Default Probability: A Practical Approach......................................................................................7
Estimate Asset Value and Volatility..................................................................................................................8
Calculate the Distance-to-default ....................................................................................................................11
Calculate the Default Probability ....................................................................................................................12
Putting it all Together .....................