Comparison between CreditMetrics™ and KMV
The result's identifiers
Result code in IS VaVaI
<a href="https://www.isvavai.cz/riv?ss=detail&h=RIV%2F61989100%3A27510%2F17%3A10236781" target="_blank" >RIV/61989100:27510/17:10236781 - isvavai.cz</a>
Result on the web
<a href="https://is.muni.cz/do/econ/sborniky/70896034/EFS2017-Proceedings_2_final.pdf" target="_blank" >https://is.muni.cz/do/econ/sborniky/70896034/EFS2017-Proceedings_2_final.pdf</a>
DOI - Digital Object Identifier
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Alternative languages
Result language
angličtina
Original language name
Comparison between CreditMetrics™ and KMV
Original language description
The topic of this paper is comparison between Creditmetrics™ and KMV. The goal is to estimate the benchmarks for both the Creditmetrics™ model and the KMV model, and then compare these two models theoretically and diagrammatically. Credit risk is determined in a portfolio that consists of ten selected quoted companies in the Frankfurt Stock Exchange (FSE) with a total nominal value of 10 million euro and the time horizon is one year, from March 24th, 2016 to March 24th, 2017. Under the framework of Creditmetrics™ and KMV, credit risk associated with the portfolio is quantified in terms of the values of economic capital. After calculating the expected loss and the unexpected loss for the whole portfolio by Creditmetrics™ (at a 99,9% confidence level) and KMV, the values of economic capital, which is the difference between the expected loss and the unexpected loss, equal to 513 316 € and 870 370 €, respectively. The most essential difference between two models is that Creditmetrics™ is a backward-looking model, while KMV is a forward-looking model.
Czech name
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Czech description
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Classification
Type
D - Article in proceedings
CEP classification
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OECD FORD branch
50206 - Finance
Result continuities
Project
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Continuities
S - Specificky vyzkum na vysokych skolach
Others
Publication year
2017
Confidentiality
S - Úplné a pravdivé údaje o projektu nepodléhají ochraně podle zvláštních právních předpisů
Data specific for result type
Article name in the collection
European Financial Systems 2017: proceedings of the 14th international scientific conference : June 26-27, 2017, Brno, Czech Republic. Part 2.
ISBN
978-80-210-8609-8
ISSN
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e-ISSN
neuvedeno
Number of pages
9
Pages from-to
400-408
Publisher name
Masaryk University
Place of publication
Brno
Event location
Brno
Event date
Jun 26, 2017
Type of event by nationality
WRD - Celosvětová akce
UT code for WoS article
000418110800048