Please use this identifier to cite or link to this item: https://hdl.handle.net/10356/35552
Title: Credit risk modelling : a hybrid approach using KMV-merton and CreditRisk+.
Authors: Cheng, Ming Kang.
Chua, Yuan Sheng.
Wee, Aaron Wei Jie.
Keywords: DRNTU::Business::Finance::Risk management
Issue Date: 2010
Abstract: This paper focuses on the use of a combination of a structural model (KMV-Merton) and a reduced-form model (CreditRisk+) to generate a loss distribution of a loan portfolio. We will provide a brief literature review and mathematical derivation of the two models. Next we will apply the KMV-Merton Model to a group of companies from the Singapore Exchange (SGX) to obtain the Merton Expected Default Probability for each company. We will then use these results as the parameters in the implementation of the CreditRisk+ Model for the calculation of the loss distribution of a loan portfolio.
URI: http://hdl.handle.net/10356/35552
Rights: Nanyang Technological University
Fulltext Permission: restricted
Fulltext Availability: With Fulltext
Appears in Collections:NBS Student Reports (FYP/IA/PA/PI)

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