KMV Credit Risk Model - Probability of Default - Default Risk

Version 1.1.0.0 (8.25 KB) by Haidar Haidar
Calculate probability of default based on Moody’s KMV. firms equity follows European call optition
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Updated 25 Jun 2012

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KMV-Merton model Probability of Default represented by Jin-Chuan Duan, Genevi`eve Gauthier and Jean-Guy Simonato (2005).

This code calculates the probability of default based on Moody’s KMV where firms equity follows a geometric Brownian motion presented by Merton and the probability of default is calculated bas on European call option of the firms market value. Newton-Raphson method is used to calculate the equity value provided the volatility of the equity.

Cite As

Haidar Haidar (2024). KMV Credit Risk Model - Probability of Default - Default Risk (https://www.mathworks.com/matlabcentral/fileexchange/34529-kmv-credit-risk-model-probability-of-default-default-risk), MATLAB Central File Exchange. Retrieved .

MATLAB Release Compatibility
Created with R2007a
Compatible with any release
Platform Compatibility
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Version Published Release Notes
1.1.0.0

No updates, just added few comments to explain lines in the code.
1.0.0.0