Expected Default Frequency – hosted by Ofer Abarbanel online library

KMV Model Expected default frequency • Expected default frequency (EDF) is a forward-looking measure of actual probability of default. EDF is firm specific. • KMV model is based on the structural approach to calculate EDF (credit risk is driven by the firm value process). – It is best when applied to publicly traded companies, where … Continue reading Expected Default Frequency – hosted by Ofer Abarbanel online library