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-...

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 streams where multiple transactions are associated with the same key prevalent in practice, e.g., a customer has shopping records arriving at different time. Itemset frequency estimation on such is very challenging since sampling based methods, as popularly used reservoir sampling, cannot be used. In this article, we propose novel k -Minimum Value (KMV) synopsis method to estimate of itemse...

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...

The asymptotic single risk factor (ASRF) approach is a simplified framework for determining regulatory capital charges for credit risk and has become an integral part of how credit risk capital requirements are to be determined under the second Basel Accord. Within this approach, a key regulatory parameter is the average asset correlation. In this paper, we examine the empirical relationship be...