Forecasting Default with the Kmv-Merton Model

By Sreedhar T. Bharath, Tyler Shumway. 2004

253 citations recorded by the source corpus.

View Paper: https://www.semanticscholar.org/paper/7e2567480e5d06d805c4f78e9d6a801ebd3f54e0

How researchers see this paper

The researchers whose trusted networks rank it highest, strongest advocate first. Every researcher gets a different order.

In Accounting

In Finance

Citations in the corpus

Cross-Border Bank Contagion in Europe (2012, unknown): “The measure of bank risk used in this paper is then 1 See KMV Corporation (2002), Vassalou and Xing (2004), Eom et al. (2004), Delianedis and Geske (2003), Bharath and Shumway (2004) for a similar derivation and more ample discussions.”
Accounting Quality and Debt Contracting (2008, methodology): “It is similar to the default probability measure computed by Bharath and Shumway (2004). d) An indicator variable that measures whether the S&P credit rating of the firm is investment grade.”
What drives Credit Risk in Emerging Markets? The Roles of Country Fundamentals and Market Co-movements (2006, methodology): “The KMV methodology is proprietary and therefore not fully documented, but the general principles are described in Crosbie and Bohn (2003) and Lando (2004) and reviewed critically by Bharath and Shumway (2004)(2). To the best of our knowledge, there has been no previous study which has estimated the”
Stocks or Options? Moral Hazard, Firm Viability, and the Design of Compensation Contracts (2008, unknown): “We estimate the KMV-Merton expected default probabilities for a one-year horizon using the detailed algorithm given in Bharath and Shumway (2004), which is similar to the method used in Vassalou and Xing (2004).”
Tepper School of Business 7-2008 Measuring Default Risk Premia from Default Swap Rates and EDFs (2007, methodology): “The calibration, explained for example in Vassalou and Xing (2004), is based on the model of Black and Scholes (1973) and Merton (1974), by which the price of a firm’s equity may be viewed as the price of an option on assets struck at the level of liabilities.”
Bankruptcy prediction: the case of Japanese listed companies (2009, background): “Bharath and Shumway (2005) examine the accuracy and the contribution of the theory-based models, and they conclude that the theory-based models have slightly better out-of-sample performance than statistical models have.”
The performance of insolvency prediction and credit risk models in the UK : a comparative study, development and wider application (2012, unknown): “Academic examples of the EC approach can be found in Vassalou and Xing (2004), Bharath and Shumway (2008), and Hillegeist et al. (2004).”