風險管理KMV模型Matlab計算—-執行個體分析

添加兩個KMV模型文檔 2009-6-5

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

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

風險管理KMV模型Matlab計算----執行個體分析

 

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

%T: Time to expiration
T=1;%輸入 月數

%DP:Defaut point
%SD: short debt,  LD: long debt
SD=1228109081;%輸入
LD=30750000;%輸入
%計算違約點
%DP=SD+0.5*LD;
DP=1.187*SD+1.367*LD;
%D:Debt maket value
D=DP;%債務的市場價值，可以修改

%theta: volatility
%PriceTheta:  volatility of stock price
PriceTheta=0.1789;%(輸入）
%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)

%計算違約距離
DD=(Va-DP)/(Va*AssetTheta)
%計算違約率
EDF=normcdf(-DD)

 

 運行testKMV
用文檔中結果驗證程式正確性,運算結果與文檔中一致
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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