Study of the credit risk of the listed communication company based on the KMV model

2011 ◽  
Author(s):  
Jiajun Li ◽  
Zhen Wang
Keyword(s):  
Credit Risk ◽  
Kmv Model ◽  
Communication Company

scholarly journals An Application of KMV Model to Forecast the Credit Risk of Corporate Customers andBank’s Expected Losses

2015 ◽  
Vol 22 (1) ◽  
pp. 62-81
Author(s):  
Canh Nguyen Thi ◽  
Khoa Pham Chi
Keyword(s):  
Credit Risk ◽  
Financial Statements ◽  
Default Probability ◽  
Merton Model ◽  
Kmv Model ◽  
Seafood Processing ◽  
Corporate Customers ◽  
Transmission And Distribution

The research aims to apply KMV-Merton model to calculate and forecast default probability (DP) among corporate customers of Vietcombank. Analyzing data from financial statements of 6,398 corporate customers in the years 2008–2012/2013, the research shows that the DP of the whole customer portfolio is 2.6%, equaling a loss of VND6,319 billion, or 3.8% of outstanding loans to the portfolio. The results also show that small-sized companies have smaller DP as compared to larger ones. Regarding industries, the lowest DP is found in road and waterway transport business, and the highest is in electricity (including production, transmission and distribution), production of other kinds of power, and seafood processing business. Industries with high DP and outstanding loans may cause the greatest damage to banks. The research concludes that large-sized companies and seafood processing enterprises cause the greatest losses to banks.

scholarly journals Application of Credit Risk Management Model in Chinese Banks

2019 ◽  
Vol 11 (1) ◽  
pp. 141
Author(s):  
Haojie Chen ◽  
Ng Sin Huei ◽  
Lew Shian Loong
Keyword(s):  
Risk Management ◽  
Credit Risk ◽  
Management Practices ◽  
Default Probability ◽  
Management Model ◽  
Credit Risk Management ◽  
Kmv Model ◽  
Black Scholes ◽  
Chinese Banks ◽  
A Company

The main objective of this paper is to perform empirical analysis and research on the KMV and Zeta models, discussing whether banks in China could adopt both models in their credit risk management practices. In order to measure credit risk, the KMV model focuses on “Expected Default Probability” (EDP) that is calculated using Black-Scholes Option Pricing Formula. On the other hand, the Zeta Model focuses on determining the probability of a company going bankrupt two years prior to the event. Previous research on risk management has shown that the primary risk the banks generally face is credit risk as an increasingly greater number of banks suffer losses because of credit issues. This paper therefore aims to add to the existing literature a strong case for the relevance of both the KMV and Zeta models to be considered in the topic of banks’ credit risk management.

scholarly journals Impact of Credit Risk on Momentum & Contrarian Strategies: Evidence from South Asian Markets

2020 ◽  
Author(s):  
Ahmed Imran Hunjra ◽  
Tahar Tayachi ◽  
Rashid Mehmood ◽  
Sidra Malik ◽  
Zoya Malik
Keyword(s):  
Credit Risk ◽  
South Asian ◽  
Low Risk ◽  
Contrarian Strategies ◽  
Kmv Model ◽  
Distance To Default

We examine the profitability of the momentum and contrarian strategies in three South Asian markets i.e. Bangladesh, India and Pakistan. We also analyze, whether credit risk influences momentum and contrarian return for these markets from 2008 to 2014. We use Distance-to-default (DD) of Kealhofer, McQuown and Vasicek (KMV) model as a measure of credit risk. We calculate the credit risk and form the momentum and contrarian strategies of the firms on the basis of high, medium and low risk. We find that in all three markets, the momentum and contrarian returns are significant for medium and high credit risk portfolios and no momentum and contrarian returns for low credit risk portfolios.

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