Thesis
Default Forecasting in KMV
- Abstract:
- In this dissertation, we present the basic ideals and structrues of the KMV in the framework of both Merton and Vasicek and Kealhofer Models, and also explain some conditions before implementing these two models. Moreover, we extend the Merton's model to a special case in KMV. We use the real data to examine the default probability of the several rms which have different financial conditions in three industries, and find out some implications among the parameters we input and derive.
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Authors
- Publisher:
- University of Oxford;Mathematics
- Publication date:
- 2008-07-01
- Type of award:
- DPhil
- Level of award:
- Doctoral
- UUID:
-
uuid:50c495f4-5857-44ab-a695-f59ec06a4baf
- Local pid:
-
oai:eprints.maths.ox.ac.uk:713
- Deposit date:
-
2011-05-19
Terms of use
- Copyright holder:
- Lu, Y
- Copyright date:
- 2008
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