Abstract:

This paper is focused on models of credit risk. The theoretical part is focused on the further introduction of risk issues. It introduces basic concepts of classic credit risk tools as well as models and different options for credit risk quantification. It gradually introduces different options for credit risk quantification. First of them is classic credit analysis, followed by Value at Risk and scoring models. An important theoretical part is the introduction of structural approach for credit risk modeling. The practical part is focused on the derivation of alternative approach to default probability based on Kealhofer, McQuown and Vasicek model (KMV) and data obtained from public resources. Last part of this paper deals with the application of this approach and the relationship and the original KMV model formula.