信用風險模型（pdf 37）
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- 信用風險模型
信用風險模型（pdf 37）內容簡介
Table of Contents
Overview .................1
Measuring Default Probability: The Problem.................2
Measuring Default Probability: A Practical Approach..7
Estimate Asset Value and Volatility.........8
Calculate the Distance-to-default ...........11
Calculate the Default Probability ...........12
Putting it all Together ........13
A Closer Look at Calculating EDF Credit Measures.....14
Calculating Long-Term EDF Credit Measures...............18
Some FrequentlyAsked Questions About KMV’s EDF Credit Measures...........19
Testing the DefaultMeasure’s Performance ..................29
Summary and Discussion .......33
..............................
Overview .................1
Measuring Default Probability: The Problem.................2
Measuring Default Probability: A Practical Approach..7
Estimate Asset Value and Volatility.........8
Calculate the Distance-to-default ...........11
Calculate the Default Probability ...........12
Putting it all Together ........13
A Closer Look at Calculating EDF Credit Measures.....14
Calculating Long-Term EDF Credit Measures...............18
Some FrequentlyAsked Questions About KMV’s EDF Credit Measures...........19
Testing the DefaultMeasure’s Performance ..................29
Summary and Discussion .......33
..............................
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