Second, the Distance-to-Default and the Expected Default Frequency(EDF) which can be calculated by the KMV model have a good reaction in the credit status of the listed companies. KMV模型计算得出的违约距离和理论EDF对上市公司的信用状况有良好反映。
And in light of credit risk, there are accounting-based ratio measurement method and volatility - based measurement method, as well as the related concepts, such as Credit Rating, Z-score, Transition Matrix, Expected Default Frequency(EDF). 针对信用风险度量的方法包括基于财务比率的风险测量方法和基于波动性的风险测量方法,与之相关的风险度量概念有信用评级、Z分数、转换矩阵、违约频率。
Since Expected Default Frequency(EDF) model ( KMV ) includes not only financial information but also market price information, it can reflect credit quality of listed company completely, and it is suitable for evaluating the credit risk of listed company especially. 由于期望违约率模型(KMV)中既有财务信息,又有市场价格信息,能全面地反映上市公司的信用状况,因此,特别适合评估上市公司的信用风险。
The KMV Model, which is based on Merton ′ s option pricing theory, is applied to get the expected default frequency and default loss of the loan. In this way, the bank can reasonably decide the interest. 运用基于期权定价理论的KMV模型来得到公司的预期违约率和违约损失,从而能合理地确定贷款利率。
KMV model makes use of the fluctuation of stock prices to assess the credit risk of open corporations, and its main analyzing vehicle is the so-called Expected Default Frequency(EDF) ( EDF ). KMV模型利用股价的波动来评估股权公开交易公司的信用风险,它最主要的分析工具是所谓的预期违约率EDF。