KMV model application: Royal Bank of Scotland (2008)

Today we are going to apply the KMV model to the Royal Bank of Scotland data from 2008. We will discuss the difference in model estimation for banks versus non-bank companies, the value of applying models to extreme cases, and a simpler and more concise implementation of the iterative KMV estimation using Solver.
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[@paulgliwitzky8687]

why do we take the book value of assets in the first iteration instead of the market cap like you did in the basic Kmvmodel vid?
I would rly appreciate an answer?

[@aaronsarinana1654]

Great video! Thanks!

[@dmitriyrayder8763]

😀 Many thanks ))

[@NEDLeducation]

Many thanks to Nada Mt for sponsoring this video!
You can find the spreadsheets for this video and some additional materials here: drive.google.com/drive/folders/1sP40IW0p0w5IETCgo464uhDFfdyR6rh7
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[@vincenzocardone510]

Hi , at the university i have studied: interest rate risk, market risk and liquidity risk. Unfortunately i didn t study credit Risk. Are there courses more operative or books and that analyses credit Risk in theory and in practise?
Thanks

[@user-qr1wv6sg8h]

Приветствую! Нашел Вас на просторах ютуба, хотел спросить о коинтеграции по тесту дики фуллера для крипты, одной пары с другой, можете написать что поочередно применить для двух этих ценовых рядов?

[@rabbitwang214]

KMV model use real default rate generated from large sample text, and the real default probability is using default distance to search on the experienced default table. Therefore, the model you demonstrated is not actually the KMV model, but rather to take the step to calculated the future debt as short debt + long-term debt*0.5. However, if the KMV default table is not published by moody, there is no way we can do this experiement.

[@gracejudith.r8783]

sir, how did you take this data?

[@user-ld5qf2yk8d]

Can be solve without solver, and can you make a video about it, great videos, keep the good work.

[@susettekloska8850]

*Promo SM* ❣️