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

• Main Authors: Cheng, Ming Kang., Chua, Yuan Sheng., Wee, Aaron Wei Jie.
• 其他作者: Leon Chuen Hwa
• 格式: Final Year Project
• 語言: English
• 出版: 2010
• 主題: DRNTU::Business::Finance::Risk management
• 在線閱讀: http://hdl.handle.net/10356/35552
• 機構: 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...