11. Corporate Credit Risk Models Based on Stock Price

  1. John B. Caouette,
  2. Edward I. Altman,
  3. Paul Narayanan and
  4. Robert Nimmo

Published Online: 29 NOV 2011

DOI: 10.1002/9781118266236.ch11

Managing Credit Risk: The Great Challenge for the Global Financial Markets, Second Edition

Managing Credit Risk: The Great Challenge for the Global Financial Markets, Second Edition

How to Cite

Caouette, J. B., Altman, E. I., Narayanan, P. and Nimmo, R. (2008) Corporate Credit Risk Models Based on Stock Price, in Managing Credit Risk: The Great Challenge for the Global Financial Markets, Second Edition, John Wiley & Sons, Inc., Hoboken, NJ, USA. doi: 10.1002/9781118266236.ch11

Publication History

  1. Published Online: 29 NOV 2011
  2. Published Print: 2 MAY 2008

ISBN Information

Print ISBN: 9780470118726

Online ISBN: 9781118266236

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Keywords:

  • corporate credit risk models;
  • financial markets;
  • sock market based credit measures;
  • franco modigliani;
  • merton miller

Summary

This chapter contains sections titled:

  • Predecessors of Options Theory

  • Option Pricing

  • Equity is a Call Option

  • Debt is Like Selling a Put Option

  • The EDF Model

  • Private Company KMV Model

  • KMV and other Approaches

  • Predictive Ability of Default Models

  • Default Prediction Results for the KMV Model

  • Applications

  • Use of EDF in Asset Valuation: Structural Models and Reduced Form Models

  • Refinements to the KMV EDF Model (1995-2006)

  • Concluding Remarks