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Investment Management and Financial Innovations, Volume 9, Issue 2, 2012
Gianpaolo Iazzolino (Italy), Adolfo Fortino (Italy)
Credit risk analysis and the KMV Black and Scholes model:
a proposal of correction and an empirical analysis
Abstract
The first aim of this work is to propose a correction to the KMV Black and Scholes model to assess credit risk. The
second aim is to perform a comparative empirical analysis, by applying the modified and the non-modified KMV Black
and Scholes model and comparing the results.
The proposed corrections to the KMV Black and Scholes model regard: (1) the potential coupon detachment for the
assessment of the current value of shares, and (2) the use of the t-Student probability distribution to replace the Normal
distribution.
The proposed model was first tested on a sample of bankrupt firms (listed on the Dax), in order to validate the assump-
tions. After this preliminary phase, the same model has been applied on a sample of twenty five high-tech companies
listed on the Italian Stock Exchange. Finally, the results of the previous studies have been compared with the ones
obtained applying the non-modified model.
The paper maintains that the corrections proposed in this paper can be useful to support a more accurate estimate in
assessing the credit risk and an improved perception of a firm’s intrinsic default risk.
Keywords: credit risk, KMV Black and Scholes, distance to default, expected default frequency, Italian Stock Market.
JEL Classification: G12, G32, G33.
Introduction obligations incurred, despite the debtor is not totally
insolvent.
The credit risk. Many economists consider the
financial crisis still affecting several countries as the Therefore, two different risk credit paradigms have
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