Kmv model use for credit risk analysis

  • José Odálio dos Santos PUC-SP; CNPq
  • José Augusto Rodrigues dos Santos Martin-Brower
Keywords: Credit, Risk, Return, KMV, Default

Abstract

This article analyzed the theoretical foundations of a method for calculation of credit risk, the KMV Model. Evaluation of credit risk is used to measure probability of default when a company no longer has the ability or willingness to meet a contractual commitment. This Model highlights the contribution of information on asset prices available in the market, to measure this probability. The company is evaluated as an option represented by the assets at market value, which may be delivered to creditors whenever market value of the debt exceeds the expectations of cash generation. The concept, calculation and relation with an efficient market were presented. KMV model results were interpreted based upon an estimate of the probability of insolvency and the relation between the point of default and the company position in relation to that reference.

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Published
2009-06-01
How to Cite
Santos, J., & Santos, J. (2009). Kmv model use for credit risk analysis . REGE Revista De Gestão, 16(2), 73-82. https://doi.org/10.5700/issn.2177-8736.rege.2009.36670
Section
Finanças