KMV Credit Risk Model - Probability of Default - Default Risk

Versión 1.1.0.0 (8,25 KB) por Haidar Haidar
Calculate probability of default based on Moody’s KMV. firms equity follows European call optition
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Actualizado 25 jun 2012

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KMV-Merton model Probability of Default represented by Jin-Chuan Duan, Genevi`eve Gauthier and Jean-Guy Simonato (2005).

This code calculates the probability of default based on Moody’s KMV where firms equity follows a geometric Brownian motion presented by Merton and the probability of default is calculated bas on European call option of the firms market value. Newton-Raphson method is used to calculate the equity value provided the volatility of the equity.

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Haidar Haidar (2024). KMV Credit Risk Model - Probability of Default - Default Risk (https://www.mathworks.com/matlabcentral/fileexchange/34529-kmv-credit-risk-model-probability-of-default-default-risk), MATLAB Central File Exchange. Recuperado .

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Versión Publicado Notas de la versión
1.1.0.0

No updates, just added few comments to explain lines in the code.
1.0.0.0