Credit risk modelling : a hybrid approach using KMV-merton and CreditRisk+.

• Main Authors: Cheng, Ming Kang., Chua, Yuan Sheng., Wee, Aaron Wei Jie.
• Other Authors: Leon Chuen Hwa
• Format: Final Year Project
• Language: English
• Published: 2010
• Subjects: DRNTU::Business::Finance::Risk management
• Online Access: http://hdl.handle.net/10356/35552
• Institution: Nanyang Technological University

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...