Comparison between CreditMetrics™ and KMV

Kód výsledku v 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>

Výsledek na webu

<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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Jazyk výsledku

angličtina

Název v původním jazyce

Comparison between CreditMetrics™ and KMV

Popis výsledku v původním jazyce

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.

Název v anglickém jazyce

Comparison between CreditMetrics™ and KMV

Popis výsledku anglicky

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.

Druh

D - Stať ve sborníku

CEP obor

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OECD FORD obor

50206 - Finance

Projekt

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Návaznosti

S - Specificky vyzkum na vysokych skolach

Rok uplatnění

2017

Kód důvěrnosti údajů

S - Úplné a pravdivé údaje o projektu nepodléhají ochraně podle zvláštních právních předpisů

Název statě ve sborníku

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

Počet stran výsledku

9

Strana od-do

400-408

Název nakladatele

Masaryk University

Místo vydání

Brno

Místo konání akce

Brno

Datum konání akce

26. 6. 2017

Typ akce podle státní příslušnosti

WRD - Celosvětová akce

Kód UT WoS článku

000418110800048