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The paper gives brief review on two models called as Merton model and KMV-Merton model. Merton model is known as the triggers to the development of many credit risk models. Of all the credit risk models developed, the KMV-Merton model is the most popular. KMV-Merton model is developed to provide probabilistic assessment of firm's likelihood to default. Its ability in forecasting default for firms...
The paper gives an overview of current conceptual framework for the credit risk assessment dedicated to banks. The framework utilises the Merton model to estimate the default probabilities of companies that are supposed to be the main borrowers causing a formation of a greater credit risk in banks. By doing this, banks are able to reaffirm the ability of their borrowers in meeting loans commitments...
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