请教一个KMV模型中的疑问

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如果一个公司的资本结构结构中含有可转换债券，那么KMV公司如何定违约边界呢？

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关键词：KMV模型 KMV 可转换债券 资本结构 模型 疑问

选取DD相等的公司样本N。
其中违约公司M
则违约率M/N

谢谢回帖，但是您说的是经验违约概率计算的方法，我说的是在用MERTON模型的时候违约边界的计算。因为我感觉如果公司资产中有可转换债券， 这种债券有可能转换成股票，就不能当成债务了，所以违约边界------债务总量，我就不知道如何确定

aliceww2012 发表于 2013-5-23 11:37
谢谢回帖，但是您说的是经验违约概率计算的方法，我说的是在用MERTON模型的时候违约边界的计算。因为我感觉 ...

I think there is a model under the structured approach talking about modeling credit risk when there is a convertible bond, I can't remember the paper and the author's name. But I think it is just a little modification of the Merton's model.

The basic idea is that, when the equity's price goes up to a certain extent, the debt is converted into equity. So there is a boundary (K1) of whether converting the debt to equity. You can easily determine this boundary by calculating the dilution effect of the equity if the convertible bond is exercised.

In this case, the question has become something like, given a firms value VT, there is a corresponding Equity and Debt: ET and DT. It is a piecewise function. You just need to find this payoff and decomposed them into several options.( Actually, in this case ET and DT are all options on VT. In traditional Merton or KMV, there is only one option, but here you have more). Then you can price the debt and determine the default probability easily.

Just the basic idea, you should checking the model.

best,

Thank you.I'll check these papers.

You can easily determine this boundary by calculating the dilution effect of the equity if the convertible bond is exercised.

这句话是什么意思？不是很能理解呢，please kindly tell me more ~~~~~~

您好，目前我也在写一篇关于KMV模型的论文，但是苦恼无法求解参数，能不能帮帮忙求解一下，万分感谢