python如何计算kmv模型_风险管理KMV模型Matlab计算—-实例分析 | 学步园

添加两个KMV模型文档 2009-6-5

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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