KMV Credit Risk Model - Probability of Default - Default Risk
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.
Citation pour cette source
Haidar Haidar (2025). 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. Extrait(e) le .
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- Computational Finance > Risk Management Toolbox >
- Computational Finance > Financial Instruments Toolbox > Price Instruments Using Functions > Mortgage-Backed Securities >
- Mathematics and Optimization > Optimization Toolbox > Systems of Nonlinear Equations > Newton-Raphson Method >
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Version | Publié le | Notes de version | |
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1.1.0.0 | No updates, just added few comments to explain lines in the code. |
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1.0.0.0 |