Search Results - subject:"KMV model"

Estimating probability of default for systemically important financial institutions during Covid-19 pandemic : evidence from Europe and USA

Anton, George; Cepoi, Cosmin Octavian; … - In: Romanian journal of economic forecasting 25 (2022) 2, pp. 44-53

Persistent link: https://www.econbiz.de/10013411748

Current and prospective estimate of counterparty risk through dynamic neural networks

Agnese, Alessio; Giribone, Pier Giuseppe; Querci, Francesca - In: Risk management magazine 17 (2022) 2, pp. 42-61

The estimate of the probability of default plays a central role for any financial entity that wants to have an overview of the risks of insolvency it may incur by having economic relations with counterparties. This study aims to analyze the calculation of such measure in the context of...

Persistent link: https://www.econbiz.de/10013501084

Impact of credit risk on momentum and contrarian strategies: Evidence from South Asian markets

Hunjra, Ahmed Imran; Tayachi, Tahar; Mehmood, Rashid; … - In: Risks 8 (2020) 2, pp. 1-14

purpose, we use distance to default (DD) by Kealhofer, McQuown, and Vasicek (KMV) model as a proxy of credit risk. We …

Persistent link: https://www.econbiz.de/10013200572

Impact of credit risk on momentum and contrarian strategies : evidence from South Asian markets

Hunjra, Ahmed Imran; Tayachi, Tahar; Mehmood, Rashid; … - In: Risks : open access journal 8 (2020) 2/37, pp. 1-14

purpose, we use distance to default (DD) by Kealhofer, McQuown, and Vasicek (KMV) model as a proxy of credit risk. We …

Persistent link: https://www.econbiz.de/10012204454

Macroeconomic Covariates of Default Risk: Case of Pakistani Non-Financial Firms

Awan, Ali Raza Elahi Bilal Mehmood Muhammad Mubashir Hussain - In: Zagreb International Review of Economics and Business 17 (2014) 1, pp. 15-26

dynamics in Pakistani non-financial firm’s context and confirm whether Moody’s KMV model of default prediction could be … the basis of results we infer that Moody’s KMV model can predict default probability in a much better way than traditional …

Persistent link: https://www.econbiz.de/10010770357

An analysis on the characteristics of Financial condition change of Korean construction companies: Using KMV model

Choi, In-Sik; Kim, Jae-Jun - In: E3 Journal of Business Management and Economics. 5 (2014) 1, pp. 017-025

Using the KMV model, which was developed based on the Black-Scholes option pricing theory, we calculated expected …

Persistent link: https://www.econbiz.de/10010757143