Loans as Options: The Moody's KMV Model

Loans as Options: The Moody's KMV Model

This chapter contains sections titled: Introduction The Link between Loans and Options The Moody's KMV Model Testing the Accuracy of EDF™ Scores Critiques of Moody's KMV EDF™ Scores Summary Appendix 4.1: Merton's Valuation Model Appendix 4.2: Moody's KMV RiskCalc™

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Bibliographische Detailangaben
Format: Buchkapitel
Sprache:eng
Schlagworte:
Black‐Scholes‐Merton (BSM) model
default option
fixed maturities
market value
moody's KMV model
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Beschreibung
Zusammenfassung:This chapter contains sections titled: Introduction The Link between Loans and Options The Moody's KMV Model Testing the Accuracy of EDF™ Scores Critiques of Moody's KMV EDF™ Scores Summary Appendix 4.1: Merton's Valuation Model Appendix 4.2: Moody's KMV RiskCalc™
DOI:10.1002/9781118267981.ch4