KMV model explained: Modelling default risk (Excel)

KMV is one of the most famous models for modelling the default risk of companies. It utilises stock market data and fundamental data as well as the Merton valuation model to calculate how likely the company is to breach its default threshold. Today we are discussing the concepts behind KMV and its implementation in Excel.
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[@NEDLeducation]

You can find the spreadsheets for this video and some additional materials here: drive.google.com/drive/folders/1sP40IW0p0w5IETCgo464uhDFfdyR6rh7
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[@nityodaytekchandani701]

Thank you!

[@AsdfAsdf-dw1fi]

Where did you get the formulas from? Did you use any special paper?

[@pooascyrous5722]

phenomenal... very appreciated it

[@salardelavarqashqai]

Your Teaching in Awsome. Excel is best platform forum for teaching of complex calcuation

[@NadaMt-kt6uy]

Thank you for the video, to capture uncertainty (which makes options more valuable) how about if we use the VIX index? Would this be valuable and important to add it to your calculation in this video? Or Newton-iterative procedure is enough?

[@GADICOOL007]

Hi, I found your video really helpful, thank you! I tried doing the same method by myself and encountered a weird issue. My mispricing calculated for daily market cap values was the exact same for all days in the sample. Is there any reason why this should happen?

[@gracejudith.r8783]

Hello, sir. Can you tell how to get data for the model, say for example: SVB bank

[@Sean-zh5zp]

can you please explain what your doing with the solver by "fitting"

[@sayalivichare9690]

Kindly explain where did you get shares?

[@vasilissotiriou1110]

I am interesting to know what will be the corresponding approach / model on private companies that do not have available share prices

[@NEDLeducation]

Hi Vasilis, and thanks for the question! This paper provides a good overview: www.econstor.eu/bitstream/10419/249533/1/WPS-32.pdf.

[@vasilissotiriou1110]

@@NEDLeducation Legend thanks

[@nishim123]

Dear Sir, Can I use your spreadsheet to teach in the class

[@DesaiDhruv]

Excellent video and great explanation of KMV model. However, I have one question - Why their is such material difference between Book value of asset at 2022 (3.49) and Market Value of asset at 2022 (9.52). Could this be explained by any theory?

[@Nele-fl1bl]

Is there a way to do this when a company is not listed on the stock exchange?

[@aryankulshreshtha8379]

Totally missed the opportunity for title - "Applying KMV to GameStop (GME)"