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 |
| _version_ | 1811695295774326784 |
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| author | Cheng, Ming Kang. Chua, Yuan Sheng. Wee, Aaron Wei Jie. |
| author2 | Leon Chuen Hwa |
| author_facet | Leon Chuen Hwa Cheng, Ming Kang. Chua, Yuan Sheng. Wee, Aaron Wei Jie. |
| author_sort | Cheng, Ming Kang. |
| collection | NTU |
| description | 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 Model to a group of companies from the Singapore Exchange (SGX) to obtain the Merton Expected Default Probability for each company. We will then use these results as the parameters in the implementation of the CreditRisk+ Model for the calculation of the loss distribution of a loan portfolio. |
| first_indexed | 2024-10-01T07:21:12Z |
| format | Final Year Project (FYP) |
| id | ntu-10356/35552 |
| institution | Nanyang Technological University |
| language | English |
| last_indexed | 2024-10-01T07:21:12Z |
| publishDate | 2010 |
| record_format | dspace |
| spelling | ntu-10356/355522023-05-19T06:24:08Z Credit risk modelling : a hybrid approach using KMV-merton and CreditRisk+. Cheng, Ming Kang. Chua, Yuan Sheng. Wee, Aaron Wei Jie. Leon Chuen Hwa Nanyang Business School DRNTU::Business::Finance::Risk management 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 Model to a group of companies from the Singapore Exchange (SGX) to obtain the Merton Expected Default Probability for each company. We will then use these results as the parameters in the implementation of the CreditRisk+ Model for the calculation of the loss distribution of a loan portfolio. BUSINESS 2010-04-20T08:48:01Z 2010-04-20T08:48:01Z 2010 2010 Final Year Project (FYP) http://hdl.handle.net/10356/35552 en Nanyang Technological University 54 p. application/pdf |
| spellingShingle | DRNTU::Business::Finance::Risk management Cheng, Ming Kang. Chua, Yuan Sheng. Wee, Aaron Wei Jie. Credit risk modelling : a hybrid approach using KMV-merton and CreditRisk+. |
| title | Credit risk modelling : a hybrid approach using KMV-merton and CreditRisk+. |
| title_full | Credit risk modelling : a hybrid approach using KMV-merton and CreditRisk+. |
| title_fullStr | Credit risk modelling : a hybrid approach using KMV-merton and CreditRisk+. |
| title_full_unstemmed | Credit risk modelling : a hybrid approach using KMV-merton and CreditRisk+. |
| title_short | Credit risk modelling : a hybrid approach using KMV-merton and CreditRisk+. |
| title_sort | credit risk modelling a hybrid approach using kmv merton and creditrisk |
| topic | DRNTU::Business::Finance::Risk management |
| url | http://hdl.handle.net/10356/35552 |
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