KMV模型的不同估計方式

Abstract

這篇論文簡介傳統的信用風險結構模型，並且提出幾種不同的模型去預測違約的機率。我們採用幾種不同的選擇權評價模型使得公司的資產價格服從不同的機率分配用以預測倒閉的機率。我們希望這些不同的模型假設可以使的倒閉機率的預測更加精確。最後，我們將做實證測試，找出能夠對於我們的資料作最佳的詮釋的模型。

In this paper, we introduce the conventional structural credit risk model and propose several different models to approach the default prediction. We apply several different option pricing frameworks which make asset value follows different distribution processes to predict the bankruptcy probability. We hope these distinct setups can predict the bankruptcy probability much accuracy. Finally, we will test these models and compare which one is the best of them.