Determination of Credit Risk by the KMV Model
The result's identifiers
Result code in IS VaVaI
<a href="https://www.isvavai.cz/riv?ss=detail&h=RIV%2F61989100%3A27510%2F17%3A10237570" target="_blank" >RIV/61989100:27510/17:10237570 - isvavai.cz</a>
Result on the web
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DOI - Digital Object Identifier
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Alternative languages
Result language
angličtina
Original language name
Determination of Credit Risk by the KMV Model
Original language description
The topic of the paper is determination of credit risk by the KMV model. KMV is a straightforward extension of the Merton model, whose major advantage is that it removes the assumption that the asset returns are normally-distributed. The main objective of the paper is to estimate a benchmark for the KMV model and to calculate the value of the economic capital of a selected portfolio that consists of ten companies quoted in the Frankfurt Stock Exchange (FSE) by applying the KMV model. The value of economic capital for the portfolio is 870 370 €. Furthermore, the asset return correlations between the fundamental factors derived from the KMV model are presented. According to a series of calculations, the firm specific risk contributes most credit risk in the portfolio.
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
<a href="/en/project/GA13-13142S" target="_blank" >GA13-13142S: Verification of suitability of particular Lévy models for selected issues of financial modeling</a><br>
Continuities
P - Projekt vyzkumu a vyvoje financovany z verejnych zdroju (s odkazem do CEP)
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
19th International Conference MEKON 2017 : conference proceedings : Ostrava, February 1 - 2 2017
ISBN
978-80-248-4034-5
ISSN
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e-ISSN
neuvedeno
Number of pages
13
Pages from-to
302-314
Publisher name
VŠB - Technical University of Ostrava
Place of publication
Ostrava
Event location
Ostrava
Event date
Feb 1, 2017
Type of event by nationality
EUR - Evropská akce
UT code for WoS article
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