风险管理KMV模型Matlab计算----实例分析

添加两个KMV模型文档 2009-6-5

http://www.business.uiuc.edu/gpennacc/MoodysKMV.pdf

http://www.prmia.org/Chapter_Pages/Data/Chicago/Kurbat_Paper.PDF

风险管理KMV模型Matlab计算----实例分析

%test KMV
%r: risk-free rate
r=0.0425;

%T: Time to expiration
T=1;%输入 月数

%DP:Defaut point
%SD: short debt, LD: long debt
SD=1228109081;%输入
LD=30750000;%输入
%计算违约点
%DP=SD+0.5*LD;
DP=1.187*SD+1.367*LD;
%D:Debt maket value
D=DP;%债务的市场价值，可以修改

%theta: volatility
%PriceTheta: volatility of stock price
PriceTheta=0.1789;%(输入）
%EquityTheta: volatility of Theta value
EquityTheta=PriceTheta*sqrt(12);
%AssetTheta: volatility of asset

%E:Equit maket value
E=172330000;
%Va: Value of asset

%to compute the Va and AssetTheta
[Va,AssetTheta]=KMVOptSearch(E,D,r,T,EquityTheta)

%计算违约距离
DD=(Va-DP)/(Va*AssetTheta)
%计算违约率
EDF=normcdf(-DD)

运行testKMV
用文档中结果验证程序正确性,运算结果与文档中一致
Optimization terminated: first-order optimality is less than options.TolFun.
Va =
1.6362e+009
AssetTheta =
0.0689
DD =
1.2111
EDF =
0.1129
>>
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