An Application of KMV Model to Forecast the Credit Risk of Corporate Customers andBank’s Expected Losses
The research aims to apply KMV-Merton model to calculate and forecast default probability (DP) among corporate customers of Vietcombank. Analyzing data from financial statements of 6,398 corporate customers in the years 2008–2012/2013, the research shows that the DP of the whole customer portfolio i...
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University of Economics Ho Chi Minh City
2023
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| Truy cập trực tuyến: | http://jabes.ueh.edu.vn/Home/SearchArticle?article_Id=51cf3122-ccb0-42e2-ac84-ef17e78d1759 http://scholar.dlu.edu.vn/thuvienso/handle/DLU123456789/115549 |
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oai:scholar.dlu.edu.vn:DLU123456789-1155492023-03-08T03:57:02Z An Application of KMV Model to Forecast the Credit Risk of Corporate Customers andBank’s Expected Losses Nguyen, Thi Canh Pham, Chi Khoa The research aims to apply KMV-Merton model to calculate and forecast default probability (DP) among corporate customers of Vietcombank. Analyzing data from financial statements of 6,398 corporate customers in the years 2008–2012/2013, the research shows that the DP of the whole customer portfolio is 2.6%, equaling a loss of VND6,319 billion, or 3.8% of outstanding loans to the portfolio. The results also show that small-sized companies have smaller DP as compared to larger ones. Regarding industries, the lowest DP is found in road and waterway transport business, and the highest is in electricity (including production, transmission and distribution), production of other kinds of power, and seafood processing business. Industries with high DP and outstanding loans may cause the greatest damage to banks. The research concludes that large-sized companies and seafood processing enterprises cause the greatest losses to banks. 2023-03-08T03:57:01Z 2023-03-08T03:57:01Z 2015 Article 2615-9112 http://jabes.ueh.edu.vn/Home/SearchArticle?article_Id=51cf3122-ccb0-42e2-ac84-ef17e78d1759 http://scholar.dlu.edu.vn/thuvienso/handle/DLU123456789/115549 10.24311/jabes/2015.22.1.07 en Journal of Asian Business and Economic Studies, Volume 22, Issue 1; p. 62-81 application/pdf University of Economics Ho Chi Minh City |
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Thư viện Trường Đại học Đà Lạt |
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Thư viện số |
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English |
| description |
The research aims to apply KMV-Merton model to calculate and forecast default probability (DP) among corporate customers of Vietcombank. Analyzing data from financial statements of 6,398 corporate customers in the years 2008–2012/2013, the research shows that the DP of the whole customer portfolio is 2.6%, equaling a loss of VND6,319 billion, or 3.8% of outstanding loans to the portfolio. The results also show that small-sized companies have smaller DP as compared to larger ones. Regarding industries, the lowest DP is found in road and waterway transport business, and the highest is in electricity (including production, transmission and distribution), production of other kinds of power, and seafood processing business. Industries with high DP and outstanding loans may cause the greatest damage to banks. The research concludes that large-sized companies and seafood processing enterprises cause the greatest losses to banks. |
| format |
Article |
| author |
Nguyen, Thi Canh Pham, Chi Khoa |
| spellingShingle |
Nguyen, Thi Canh Pham, Chi Khoa An Application of KMV Model to Forecast the Credit Risk of Corporate Customers andBank’s Expected Losses |
| author_facet |
Nguyen, Thi Canh Pham, Chi Khoa |
| author_sort |
Nguyen, Thi Canh |
| title |
An Application of KMV Model to Forecast the Credit Risk of Corporate Customers andBank’s Expected Losses |
| title_short |
An Application of KMV Model to Forecast the Credit Risk of Corporate Customers andBank’s Expected Losses |
| title_full |
An Application of KMV Model to Forecast the Credit Risk of Corporate Customers andBank’s Expected Losses |
| title_fullStr |
An Application of KMV Model to Forecast the Credit Risk of Corporate Customers andBank’s Expected Losses |
| title_full_unstemmed |
An Application of KMV Model to Forecast the Credit Risk of Corporate Customers andBank’s Expected Losses |
| title_sort |
application of kmv model to forecast the credit risk of corporate customers andbank’s expected losses |
| publisher |
University of Economics Ho Chi Minh City |
| publishDate |
2023 |
| url |
http://jabes.ueh.edu.vn/Home/SearchArticle?article_Id=51cf3122-ccb0-42e2-ac84-ef17e78d1759 http://scholar.dlu.edu.vn/thuvienso/handle/DLU123456789/115549 |
| _version_ |
1765278409104031744 |