KMV: Difference between revisions
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imported>Doug Williamson (Delete broken link.) |
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* [[Credit risk]] | * [[Credit risk]] | ||
* [[Default]] | * [[Default]] | ||
* [[Merton distance-to-default]] | * [[Merton distance-to-default]] | ||
Revision as of 20:47, 9 February 2019
Credit risk
KMV is a credit risk process based on the work of Kealhofer, McQuown and Vasicek.
It calculates expected default frequencies.
