A comparison of KMV-MERTON and KMV-EDF model in predicting default risk of companies / Ira Anissidma Shuhaimi, Siti Nurhuzalifah Mohamed Tahir and Siti Suhaila Safarim

• Main Authors: Shuhaimi, Ira Anissidma, Mohamed Tahir, Siti Nurhuzalifah, Safarim, Siti Suhaila
• Format: Student Project
• Language: English
• Published: 2019
• Subjects: Mathematical statistics. Probabilities; Analytical methods used in the solution of physical problems
• Online Access: http://ir.uitm.edu.my/id/eprint/37422/1/37422.pdf; http://ir.uitm.edu.my/id/eprint/37422/

This research implemented the KMV-Merton model and KMV-EDF model to predict the default risk of AA and C rated companies which are UEM Sunrise Berhad and Talam Corporation Berhad respectively. By using this model, the distance to default and probability to default of the companies are predicted....