Finally, used the amended KMV model for the credit risk assessment, and tested the results.
最后利用修正后的KMV模型对其进行信用风险评估,并对结果进行了相关检验。
The KMV Model, which is based on Merton′s option pricing theory, is applied to get the expected default frequency and default loss of the loan.
运用基于期权定价理论的KMV模型来得到公司的预期违约率和违约损失,从而能合理地确定贷款利率。
In case of credit assets backed securities, the paper explores the special risks of asset securitization-default risk, and the default risks with KMV model.
以信贷资产支持证券为例探讨资产证券化的特有风险—违约风险,并运用KMV模型测度个案违约风险,在此基础上提出一些控制违约风险的策略。
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