Default Forecasting in KMV

Abstract

In this dissertation, we present the basic ideals and structrues of the KMV in the framework of both Merton and Vasicek and Kealhofer Models, and also explain some conditions before implementing these two models. Moreover, we extend the Merton's model to a special case in KMV. We use the real data to examine the default probability of the several rms which have different financial conditions in three industries, and find out some implications among the parameters we input and derive.