This paper employs non-parametric specification tests developed in Hong and Li (2005) to evaluate several one-factor reduced-form credit risk models for actual default intensities. Using estimates for actual default probabilities provided by Moody’s KMV from 1994 to 2005 for 106 U.S. firms in seven industry groups, we strongly reject popular univariate affine model specifications. As a good com...

Bonds are debt securities from the issuer to bondholders with a promise pay off principal and coupon at maturity. Bond investing can generate income while also posing investment risks. One of risks connected bond is credit risk, which might manifest as firm collapsing (default). The KMV Merton model approach one method measuring risk. This computes Expected Default Frequency (EDF), likelihood f...

In this paper, we analyze the default risk of Chinese real estate companies with KMV model and time-varying copula. We collected the data of the listed real estate companies in Shanghai and Shenzhen Exchanges from 2007 to 2012 to calculate the default distance and correlations. Experiments results show that the default risk increases during the financial crisis. Moreover, results also indicate ...

Based on the idea of KMV model to build China's local government debt credit risk model, and associate the credit risk with borrowing scale to put forward the moderate debt scale of local government. Studies show that: The credit risks of local government debt is very sensitive to debt scale, When debt scale increases to a certain extent, the government’s default probability will rise sharply, ...

This paper proposes and examines a new structural risk of default model for banks in frictional fuzzy financial markets. It is motivated by the need to fill shortcomings probability-based credit metric models that are characterised unrealistic assumptions such as crisply precise constant risk-free rates return. The problem investigated here specifically Kealhofer–Merton–Vasicek (KMV)-type estim...

Maritime transportation is one of the most important services in the international trade, especially for international cargo transportation. Literature reviews extract several components of trust and commitment for study. Theoretical foundations are drawn from the commitment-trust theory of relationship marketing to find out the key factor, the relationship result of cooperation. A conceptual m...

In the first part of this paper we address the non-coherence of value-at-risk (VaR) as a risk measure in the context of portfolio credit risk, and highlight some problems which follow from this theoretical deficiency. In particular, a realistic demonstration of the non-subadditivity of VaR is given and the possibly nonsensical consequences of VaR-based portfolio optimisation are shown. The seco...