24 A Comparative Study of Modeling Credit Risk in Creditmetrics and KMV Available to Purchase

In the last 20 years, credit risk models have become a hot topic in the financial world. This paper reviews CrediMetrics and KMV, two well known industry credit risk models. Both of them are based on the asset value model originally proposed by Merton's asset value model. After briefly introducing credit ratings and Merton's asset value model, the framework of CreditMetrics and an example computed by R software follows. Then, KMV method is introduced and an example is given. Finally, CreditMetrics and KMV are compared.