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金融環境不斷的進步下，信用風險預期越加重要，KMV公司利用選擇權評價法以及其龐大的資料庫發展出目前計算違約機率的主流方法，但KMV模型在違約點的設置，定義為短期負債加上二分之一長期負債，每個國家不同的經濟環境甚至每種產業不同的產業背景，用同樣的違約點預測其違約機率，可能造成較大的誤差，本研究希望利用債權人的角度，進行其權益極大化，尋找最適的違約點，並求算出預期違約機率;之所以會利用債權人的觀點，主要是因為債權人是在公司違約時，決定公司是否可以繼續經營的關鍵人物，因此我們利用債權人的觀點進行進一步的探討，找出最適的違約點。並在尋找出違約點之後，進行分析，了解到各個變數對於違約點的影響，並求出預期違約機率。

不論是對保險監理者或是保戶來說，保險公司是否具有清償能力一直都是大家關注的焦點。這方面的議題探討不勝枚舉。在過去的文獻裡，大家所採用的模型不竟相同，但相同的是，大家焦點都是放在保險公司破產機率這方面。 本文使用Moody研發的KMV模型下針對未上市公司有顯著解釋能力的PFM模型(Private Firm Model)。並利用PFM模型來預測北美壽險業的違約風險。一開始，我們先從上市的壽險業中取得足夠的資料，進而去估計未上市壽險業的資產市值及資產波動度，並利用這些資料算出違約距離(Distance-to-Default)。 本文的另ㄧ個重點，是將過去文獻中有顯著的比率與違約距離作比較，試圖提出一個能夠代表市場資訊的新比率。因此，我們利用羅吉斯迴歸來對照不同變數下的模型，並利用ROC(Receiver Operating Characteristic Curve)曲線下的範圍來衡量模型的適合度。 本文所採用的上市北美壽險業與未上市北美壽險業資料，取自CompuStat、DataStream及NAIC。 / Insurer’s solvency has always been the primary concern of insurance regulators and policyholders. Researchers therefore have strived to develop various models to identify potentially troubled insurers. Our paper will contribute to the literature by applying a new method, the KMV’s private firm model (PFM), to predict the solvency/insolvency of life insurers.In this paper, we will apply the KMV’s PFM to estimate the default risk of life insurers. We will first apply the KMV’s public firm model to public life insurers and then use the two simple mapping methods to estimate the asset value and volatility of private life insurers. The estimated values and volatilities can then be used to calculate an insurer’s distance-to-default (DD) and default probability. The predictive power of PFM will be compared with the common ratio analysis using logistic regressions and Receiver Operating Characteristic (ROC) Curves. The data on public and private life insurers will come from CompuStat, DataStream and NAIC’s A-list data respectively. Both are readily available at our university.

In the recent years, the banks pay more attention to the importance of the Credit Risk. Thus, more research institutions start to focus on the problem of the Credit Risk. And the KMV company is one of the most famous institutions. The paper uses Expected Default Frequency Model developed by KMV to value the expected default probability of Taiwan listed company, and compared two ways, Financial Statement Analysis and KMV Option Model, to value EDF, and try to understand the distribution of the EDF of Taiwan listed company.

Made available in DSpace on 2016-03-15T19:33:04Z (GMT). No. of bitstreams: 1 Daniela Rezende de Paula.pdf: 383337 bytes, checksum: 2c7c9d004a174c0b9a286928d37a9eef (MD5) Previous issue date: 2010-03-01 / Fundo Mackenzie de Pesquisa / Sales of new cars in Brazil have increased significantly in the last decade, with average growth of 10% per year. Government incentives, such as tax reduction, were used as a forcing agent for the segment during the crisis period between 2008 and 2009. With the continuation of strong market, funding also increase . The objective of this research is to test, based on a study Securato (2003), who adapted the KMV model to study the probability of default for private companies, which is the default risk associated with the financing of vehicles, using as variables the relationship between debt and payment to the contractor for the good and the devaluation of the prices of passenger cars and light commercial market. The adaptation of the KMV model, however, showed no predictive ability for the market of auto finance. / As vendas de veículos novos no Brasil vêm aumentando significativamente na última década, com crescimento médio de 10% ao ano. Incentivos governamentais, como a redução da carga tributária, foram usados como agentes impulsionares para o segmento durante o período de crise entre 2008 e 2009. Com a manutenção do mercado aquecido, os financiamentos também cresceram. O objetivo desta pesquisa é testar, baseando-se em um estudo de Securato (2003), que adaptou o modelo KMV para estudar a probabilidade de inadimplência em empresas de capital fechado, qual é o risco de inadimplência associado ao financiamento de veículos, usando como variáveis a relação entre dívida contratada e pagamento à vista do bem e a desvalorização dos preços dos veículos de passeio e comerciais leves no mercado. A adaptação do modelo KMV, entretanto, não mostrou capacidade preditiva para o mercado de financiamento de automóveis.

Thesis Portfolio Credit Risk Modeling focuses on state-of-the-art credit models largely implemented by banks into their banking risk-assessment and complementary valuation system frameworks. Reader is provided in general with both theoretical and applied (practical) approaches that are giving a clear notion how selected portfolio models perform in real-world environment. Our study comprises CreditMetrics, CreditRisk+ and KMV model. In the first part of the thesis, our intention is to clarify theoretically main features, modeling principles and moreover we also suggest hypotheses about strengths/drawbacks of every scrutinized model. Subsequently, in the applied part we test the models in a lab-environment but with real-world market data. Noticeable stress is also put on model calibration. This enables us to con firm/reject the assumptions we made in the theoretical part. In the very end there follows a straightforward general overview of all outputs and a conclusion.