Alternative Methods for Estimating KMV Model

Alternative Methods for Estimating KMV Model

碩士 === 國立交通大學 === 財務金融研究所 === 93 === In this paper, we introduce the conventional structural credit risk model and propose several different models to approach the default prediction. We apply several different option pricing frameworks which make asset value follows different distribution processes...

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Main Authors: Kuan-Yu Shih, 施冠宇
Other Authors: Cheng-Few Lee
Format: Others
Language:en_US
Published: 2005
Online Access:http://ndltd.ncl.edu.tw/handle/39831698385741503922
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spelling ndltd-TW-093NCTU53040152016-06-06T04:10:40Z http://ndltd.ncl.edu.tw/handle/39831698385741503922 Alternative Methods for Estimating KMV Model KMV模型的不同估計方式 Kuan-Yu Shih 施冠宇 碩士 國立交通大學 財務金融研究所 93 In this paper, we introduce the conventional structural credit risk model and propose several different models to approach the default prediction. We apply several different option pricing frameworks which make asset value follows different distribution processes to predict the bankruptcy probability. We hope these distinct setups can predict the bankruptcy probability much accuracy. Finally, we will test these models and compare which one is the best of them. Cheng-Few Lee Yuan-Chung Sheu 李正福 許元春 2005 學位論文 ; thesis 44 en_US
collection NDLTD
language en_US
format Others
sources NDLTD
description 碩士 === 國立交通大學 === 財務金融研究所 === 93 === In this paper, we introduce the conventional structural credit risk model and propose several different models to approach the default prediction. We apply several different option pricing frameworks which make asset value follows different distribution processes to predict the bankruptcy probability. We hope these distinct setups can predict the bankruptcy probability much accuracy. Finally, we will test these models and compare which one is the best of them.
author2 Cheng-Few Lee
author_facet Cheng-Few Lee
Kuan-Yu Shih
施冠宇
author Kuan-Yu Shih
施冠宇
spellingShingle Kuan-Yu Shih
施冠宇
Alternative Methods for Estimating KMV Model
author_sort Kuan-Yu Shih
title Alternative Methods for Estimating KMV Model
title_short Alternative Methods for Estimating KMV Model
title_full Alternative Methods for Estimating KMV Model
title_fullStr Alternative Methods for Estimating KMV Model
title_full_unstemmed Alternative Methods for Estimating KMV Model
title_sort alternative methods for estimating kmv model
publishDate 2005
url http://ndltd.ncl.edu.tw/handle/39831698385741503922
work_keys_str_mv AT kuanyushih alternativemethodsforestimatingkmvmodel
AT shīguānyǔ alternativemethodsforestimatingkmvmodel
AT kuanyushih kmvmóxíngdebùtónggūjìfāngshì
AT shīguānyǔ kmvmóxíngdebùtónggūjìfāngshì
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