Predictive Merton

Firm-value models of default are the basis of KMV’s proprietary default prediction methodology. Recently, critics have attacked the methodology for its failure to include other potentially useful default indicators. Here, Stephen Kealhofer and Matthew Kurbat respond, arguing that such indicators fail to improve upon the KMV methodology’s predictive power.

  Click here to view article (PDF).

Adobe Acrobat PDF files
You will need Adobe Acrobat Reader to view this PDF. This software is available for free from the Adobe web site. Click on the image below to download a free copy.

Copyright statement
As a subscriber, the PDF you are about to view is made available for personal use only. Under the following terms you are granted permission to view online, print out, or store on your computer a single copy, provided this is intended for the benefit of the individual user. Should you wish to use multiple copies of this article, please contact Jim Sinstadt.

© Risk Waters Group Ltd, 2002. All rights reserved. No parts of this publication may be reproduced, stored in or introduced into any retrieval system, or transmitted, in any form or by any means, electronic, mechanical, photocopying, recording or otherwise without the prior written permission of the copyright owners.