According to the adverse consequences that are brought by financial distress for companies, economy and financial –monetary institutions, the use of methods that can predict the occurrence of financial failure and prevent the loss of wealth is of great importance. The major models of credit risk assessment are based on retrospective information and using the methods which use the updated market...

In current credit ratings models, various accounting-based information are usually selected as prediction variables, based on historical information rather than the market’s assessment for future. In the study, we propose credit rating prediction model using market-based information as a predictive variable. In the proposed method, Moody’s KMV (KMV) is employed as a tool to evaluate the market-...

With the rapid development of internet finance in China, risk management has become an urgent issue. This study analyzes factors that affect default Chinese companies based on measuring distance to companies. incorporates ESG rating into evaluation model comprehensively reflect factors. The traditional KMV is modified with rating, and results are used construct panel logit model. Based firms li...

In this paper, we validate the performance of Moody’s KMV EDF credit measures in its timeliness of default prediction, ability to discriminate good firms from bad firms, and accuracy of levels in three regions: North America, Europe, and Asia. We focus on the period 1996–2006 for most of our tests. Wherever possible, we compare the performance to that of other popular alternatives, such as agen...

the present paper aimed at studying the current models of credit portfolio management. there are currently three types of models which consider the risk of credit portfolio: the structural models (moody's kmv model, and credit- metrics model), the intensity models (the actuarial models) and the econometric models (the macro-factors model). the development of these three types of models is based...