Credit risk modelling : a hybrid approach using KMV-merton and CreditRisk+.
This paper focuses on the use of a combination of a structural model (KMV-Merton) and a reduced-form model (CreditRisk+) to generate a loss distribution of a loan portfolio. We will provide a brief literature review and mathematical derivation of the two models. Next we will apply the KMV-Merton Mod...
| Main Authors: | , , |
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| Other Authors: | |
| Format: | Final Year Project (FYP) |
| Language: | English |
| Published: |
2010
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| Subjects: | |
| Online Access: | http://hdl.handle.net/10356/35552 |