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KMV Credit Risk Model - Probability of Default - Default Risk



10 Jan 2012 (Updated )

Calculate probability of default based on Moody’s KMV. firms equity follows European call optition

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KMV-Merton model Probability of Default represented by Jin-Chuan Duan, Genevi`eve Gauthier and Jean-Guy Simonato (2005).

This code calculates the probability of default based on Moody’s KMV where firms equity follows a geometric Brownian motion presented by Merton and the probability of default is calculated bas on European call option of the firms market value. Newton-Raphson method is used to calculate the equity value provided the volatility of the equity.

MATLAB release MATLAB 7.4 (R2007a)
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Comments and Ratings (1)
11 Dec 2013 Munkhdalai Lkhagvadorj

good job

25 Jun 2012 1.1

No updates, just added few comments to explain lines in the code.

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