信用風險模型(英文)(pdf 37頁)

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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