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1
Jezbera, Lukáš. "KMV model v podmínkách českého kapitálového trhu." Master's thesis, Vysoká škola ekonomická v Praze, 2010. http://www.nusl.cz/ntk/nusl-75355.
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The thesis is focused on the options of quantifying credit risk by using the concept of the KMV model. The introduction outlines the basic approaches to measuring credit risk. In the following chapters is specified the nature of KMV model with the focus on its application in the Czech capital market. Self-calibration of the KMV model is made in this part. The analytical part related to the quantification of credit risk using the KMV model is implemented on selected companies which are traded on the Prague Stock Exchange. The results obtained are consequently confronted with the official rating degrees of agency Moody's.
2
Урсуленко, Г. В. "Застосування моделі KMV при оцінці кредитного ризику". Thesis, Українська академія банківської справи Національного банку України, 2011. http://essuir.sumdu.edu.ua/handle/123456789/62158.
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Перевагами моделі KMV є: казуальний характер моделі; викорис-
тання ринкової інформації про ціни; можливість здійснення прогнозу.
До недоліків даної моделі можна віднести такі: наявність багатьох тео-
ретичних припущень, які на практиці не підтверджуються; складність у
застосуванні до деривативів; суперечливість результатів щодо ринків,
які розвиваються.
3
Paula, Daniela Rezende de. "Análise da inadimplência no mercado de financiamento de automóveis no Brasil: uma proposta de adaptação do modelo KMV." Universidade Presbiteriana Mackenzie, 2010. http://tede.mackenzie.br/jspui/handle/tede/984.
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Previous issue date: 2010-03-01<br>Fundo Mackenzie de Pesquisa<br>Sales of new cars in Brazil have increased significantly in the last decade, with average growth of 10% per year. Government incentives, such as tax reduction, were used as a forcing agent for the segment during the crisis period between 2008 and 2009. With the continuation of strong market, funding also increase . The objective of this research is to test, based on a study Securato (2003), who adapted the KMV model to study the probability of default for private companies, which is the default risk associated with the financing of vehicles, using as variables the relationship between debt and payment to the contractor for the good and the devaluation of the prices of passenger cars and light commercial market. The adaptation of the KMV model, however, showed no predictive ability for the market of auto finance.<br>As vendas de veículos novos no Brasil vêm aumentando significativamente na última década, com crescimento médio de 10% ao ano. Incentivos governamentais, como a redução da carga tributária, foram usados como agentes impulsionares para o segmento durante o período de crise entre 2008 e 2009. Com a manutenção do mercado aquecido, os financiamentos também cresceram. O objetivo desta pesquisa é testar, baseando-se em um estudo de Securato (2003), que
adaptou o modelo KMV para estudar a probabilidade de inadimplência em empresas de capital fechado, qual é o risco de inadimplência associado ao financiamento de veículos, usando como variáveis a relação entre dívida contratada e pagamento à vista do bem e a desvalorização dos preços dos veículos de passeio e comerciais leves no mercado. A adaptação do modelo KMV, entretanto, não mostrou capacidade preditiva para o mercado de financiamento de automóveis.
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Lamberti, José Renato de Paula. "Análise da contribuição do modelo KMV para previsão de default de empresas nacionais de grande porte." Pontifícia Universidade Católica de São Paulo, 2011. https://tede2.pucsp.br/handle/handle/991.
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Previous issue date: 2011-05-19<br>Coordenação de Aperfeiçoamento de Pessoal de Nível Superior<br>Evaluating the risk of default by a company became an indispensable object when making the
decision to grant to the financial credit institutions. Taking in account the current record of
credit growth, the strategic role of risk management for financial institutions, the constant
innovations in the process of detection risk and the large volume of academic researches
related to management models for credit risk, because of this, it was considered the
appropriate occasion for the development of this dissertation.
The present work aims to confront the traditional analysis of risk based on accounting ratios
and the results of KMV model to determine the probability of default of publicly traded
companies. The dissertation will address the theoretical review of the traditional analysis of
credit risk and the model of KWN (based on the theory of Black and Scholes 1973 and
Merton, 1974).
The next step will apply the accounting ratios and the KMV model, calculating the probability
of default of the building sample. Therefore, we will discuss the limitations of the KMV
model and some recommendations in order to improve management of credit<br>Avaliar o risco de inadimplência de uma empresa tornou-se objeto indispensável para a
tomada de decisão de concessão de crédito para as instituições financeiras. O atual histórico
de crescimento do crédito, o papel estratégico do gerenciamento do risco para as instituições
financeiras, as constantes inovações nos procedimentos de detecção de risco e o grande
volume de pesquisas acadêmicas abordando modelos de gestão dos riscos de crédito,
considerou-se oportuna a ocasião para o desenvolvimento desta dissertação.
O presente trabalho tem como objetivo confrontar a análise tradicional de risco baseada em
índices contábeis e o resultado do modelo KMV para determinar a probabilidade de default
das empresas de capital aberto. A dissertação abordará a revisão teórica da análise tradicional
do risco de crédito e em seguida, a modelagem do KMV ( baseada na teoria de Black e
Scholes, 1973 e Merton, 1974).
O próximo passo aplicará os índices contábeis e a modelagem do KMV, calculando a
probabilidade de default das empresas da amostra. Por conseguinte, serão discutidas as
limitações do modelo KMV e algumas recomendações com o intuito de aprimorar o
gerenciamento do crédito
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Sedlárová, Michala. "Analýza vybraných modelov kreditného rizika." Master's thesis, Vysoká škola ekonomická v Praze, 2010. http://www.nusl.cz/ntk/nusl-16960.
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The main aim of my final thesis is to familiar reader with different ways of measuring credit risk by means of particular structural models of credit risk. This issue has been already described by foreign authors. Though, neither Czech nor Slovak economists have been deeply involved in this topic so far. For this reason, I have decided to focus on those models and both describe them as well as put them into the practice. My final thesis gradually focus on individual detailed model description in each chapter in following sequence: Credit Metrics, Black-School model, Merton model, KMV, Credit Grades. Moreover, it also targets model's construction as well as practical application. Regarding practical model's application, Black-School model is applied on IBM and KMV on Kraft Foods Company. Admittedly, that proves the fact that structural models are not only theoretical models, but also practical models applyable on real companies. Finally, I will compare all above mentioned models in selected parameters.
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Alsadhan, Abdulaziz O. A. "The implementation of knowledge management systems: An empirical study of critical success factors and a proposed model." Thesis, University of Bradford, 2007. http://hdl.handle.net/10454/4193.
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KM is the process of creating value from the intangible assets of an enterprise. It deals
with how best to leverage knowledge internally in the enterprise (in its individual
employees, and the knowledge that gets built into its structures and systems) and
externally to the customers and stakeholders. As KM initiatives, projects and systems
are just beginning to appear in organisations, there is little research and empirical field
data to guide the successful development and implementation of such systems or to
guide the expectations of the potential benefits of such systems. In addition, about 84
per cent of KM programmes failed or exerted no significant impact on the adopting
organisations worldwide due to inability to consider many critical factors that contribute
to the success of KM project implementation.
Hence, this study is an exploratory investigation into the KM implementation based on
an integrated approach. This includes: (1) a comprehensive review of the relevant
literature; (2) a comprehensive analysis of secondary case studies of KM
implementations in 90 organisations presented in the literature, in order to arrive at the
most critical factors of KM implementation and their degree of criticality; (3)
exploratory global survey of 92 organisations in 23 countries that have already
implemented or are in the process of implementing KM; (4) in-depth case studies of
four leading organisations to understand how KM implementation processes and the
critical factors identified are being addressed.
Based on the empirical findings of the study, 28 critical factors were identified that must
be carefully considered in the KM implementation to achieve a successful project.
Moreover, the study proposes an integrated model for effective KM implementation
which contains essential elements that contribute to project success.<br>Government of Saudi Arabia represented by King Saud University.
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Alsadhan, Abdulaziz Omar Abdullah. "The implementation of knowledge management systems : an empirical study of critical success factors and a proposed model." Thesis, University of Bradford, 2007. http://hdl.handle.net/10454/4193.
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KM is the process of creating value from the intangible assets of an enterprise. It deals with how best to leverage knowledge internally in the enterprise (in its individual employees, and the knowledge that gets built into its structures and systems) and externally to the customers and stakeholders. As KM initiatives, projects and systems are just beginning to appear in organisations, there is little research and empirical field data to guide the successful development and implementation of such systems or to guide the expectations of the potential benefits of such systems. In addition, about 84 per cent of KM programmes failed or exerted no significant impact on the adopting organisations worldwide due to inability to consider many critical factors that contribute to the success of KM project implementation. Hence, this study is an exploratory investigation into the KM implementation based on an integrated approach. This includes: (1) a comprehensive review of the relevant literature; (2) a comprehensive analysis of secondary case studies of KM implementations in 90 organisations presented in the literature, in order to arrive at the most critical factors of KM implementation and their degree of criticality; (3) exploratory global survey of 92 organisations in 23 countries that have already implemented or are in the process of implementing KM; (4) in-depth case studies of four leading organisations to understand how KM implementation processes and the critical factors identified are being addressed. Based on the empirical findings of the study, 28 critical factors were identified that must be carefully considered in the KM implementation to achieve a successful project. Moreover, the study proposes an integrated model for effective KM implementation which contains essential elements that contribute to project success.
8
Moura, João Sichieri. "Avaliação do risco de crédito: aplicação do modelo KMV para obter a probabilidade de default no setor siderúrgico." João Moura, 2007. http://hdl.handle.net/10438/2686.
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Previous issue date: 2007-05-30<br>Credit risk management has assumed increasing importance for the managers and directors of enterprises. Thus, different approaches aimed to measure the probability of default are under discussion nowadays. This paper evaluates models that have become more popular over the last 30 years in order forecast defaults or to provide information regarding to financial difficulties of enterprises. This paper will focus on the KMV model in order to estimate the probability of default, its methodology based on market value of the asset and its volatility and finally estimate the probability of default. Finally, to test the KMV model will be used a sample of global steel companies that have credit in Companhia Vale do Rio Doce (CVRD), which will allow us to make comparisons with the models presented in this work.
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Vianna, Renata Moura Issa. "Dualidade No Modelo Kmp E A Lei de Fourier." Instituto de Matemática. Departamento de Matemática, 2015. http://repositorio.ufba.br/ri/handle/ri/19471.
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Dissertação Renata Issa Vianna.pdf: 2838078 bytes, checksum: dafa2b733973cb93879554bca4cfdd15 (MD5)<br>O intuito desta dissertação é estudar o modelo KMP. Este é um clássico modelo de interação constituído por uma cadeia de osciladores harmônicos unidimensionais desacoplados que trocam energia por meio de um processo estocástico.
Cada elo tem um relógio de Poisson. Sempre que o relógio toca, dois osciladores vizinhos redistribuem energia de maneira uniforme. Além disso, o sistema está em contato com reservatórios nas extremidades, à diferentes temperaturas. Neste trabalho, apresentamos o estudo deste modelo e mostramos a validade da Lei de Fourier.
10
Forsberg, Björn. "Classical over-the-barrier model for ionization of poly-cyclic aromatic hydrocarbons in keV-collisions with atomic ions." Thesis, Stockholms universitet, Fysikum, 2011. http://urn.kb.se/resolve?urn=urn:nbn:se:su:diva-60168.
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We are developing a novel classical over-the barrier model for electron transfer from an in nitely thin conducting disc to a point charge projectile to model multiple electron capture in e.g. keV collisions of atomic ions with poly-cyclic aromatic hydrocarbons (PAHs). In its nal form, the present model will incorporate the polarization of the PAH molecules due to the active electron and the point charge projectile at a general angle of incidence. This will drastically improve the description of the potential barrier in comparisons with simpler versions of the model where the nite size and polarizability of the target molecule is neglected or treated in an averaged fashion. In this work we arrive at expressions for the electrostatic potential energy barrier experienced by the active electron in the two spatial orientations where the point charge projectile is located along the normal symmetry axis and in the tangent plane of the disc. Applied to coronene (C24H12) such barriers compare better with high level density functional theory (DFT) calculations than with the results from the simpler versions of the classical over-the-barrier models for atomic and spherical cluster targets. These results thus strongly supports the conducting disc approximation of PAHs. Finally we discuss the nal steps in the model development and possible extensions of the model to include less symmetric elliptical discs or spherical caps.
11
Kopunec, Kristián. "Technická řešení přepojení hladiny VN z 35 kV na 22 kV." Master's thesis, Vysoké učení technické v Brně. Fakulta elektrotechniky a komunikačních technologií, 2020. http://www.nusl.cz/ntk/nusl-413144.
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The diploma thesis deals with the design of the connection of the Svratecko area with the distribution network of the company E.ON Distribuce, a.s.. The theoretical part describes the energy legislation and the individual standards on which the thesis is based. It also describes the concept of a 22 kV high voltage network. The practical part of the thesis is focused on the creation of line models in the program E-vlivy, which will supply the Svratecko area and the model of the monitored area. Outputs from the thesis will be used by E.ON Distribuce, a.s. to evaluate the connection of the Svratecko area.
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Andersson, Henrik, and Peter Oreland. "City Mobility Model with Google Earth Visualization." Thesis, Karlstad University, Faculty of Economic Sciences, Communication and IT, 2007. http://urn.kb.se/resolve?urn=urn:nbn:se:kau:diva-944.
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<p>Mobile Ad Hoc Networks are flexible, self configuring networks that do not need a fixed infrastructure. When these nets are simulated, mobility models can be used to specify node movements. The work in this thesis focuses on designing an extension of the random trip</p><p>mobility model on a city section from EPFL (Swiss federal institute of technology). Road data is extracted from the census TIGER database, displayed in Google Earth and used as input for the model. This model produces output that can be used in the open source network simulator ns-2.</p><p>We created utilities that take output from a database of US counties, the TIGER database, and convert it to KML. KML is an XML based format used by Google Earth to store geographical data, so that it can be viewed in Google Earth. This data will then be used as input to the modified mobility model and finally run through the ns-2 simulator. We present some NAM traces, a network animator that will show node movements over time.</p><p>We managed to complete most of the goals we set out, apart from being able to modify node positions in Google Earth. This was skipped because the model we modified had an initialization phase that made node positions random regardless of initial position. We were also asked to add the ability to set stationary nodes in Google Earth; this was not added due to time constraints.</p>
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Stettler, Matthias. "KMU-Finanzierung mit Mezzanine-Kapital Produktgestaltung und Prozesse /." St. Gallen, 2006. http://www.biblio.unisg.ch/org/biblio/edoc.nsf/wwwDisplayIdentifier/03906229001/$FILE/03906229001.pdf.
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Stollsteimer, Philipp. "Vom traditionellen Handwerksbetrieb zum modern geführten KMU dargestellt an einem Fallbeispiel /." St. Gallen, 2005. http://www.biblio.unisg.ch/org/biblio/edoc.nsf/wwwDisplayIdentifier/01666247001/$FILE/01666247001.pdf.
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Guidetti, Veronica. "Axion-like particles and the 3.5 keV line in 4D string models." Master's thesis, Alma Mater Studiorum - Università di Bologna, 2016. http://amslaurea.unibo.it/10346/.
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This work is focused on axions and axion like particles (ALPs) and their possible relation with the 3.55 keV photon line detected, in recent years, from galaxy clusters and other astrophysical objects. We focus on axions that come from string compactification and we study the vacuum structure of the resulting low energy 4D N=1 supergravity effective field theory.
We then provide a model which might explain the 3.55 keV line through the following processes.
A 7.1 keV dark matter axion decays in two light axions, which, in turn, are transformed into photons thanks to the Primakoff effect and the existence of a kinetic mixing between two U(1)s gauge symmetries belonging respectively to the hidden and the visible sector.
We present two models, the first one gives an outcome inconsistent with experimental data, while the second can yield the desired result.
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Khudobin, Ruslan. "Influence of National Culture on the Implementation of Knowledge Management System: Creation of model for the implementation of KM System." Thesis, Linnéuniversitetet, Institutionen för informatik (IK), 2015. http://urn.kb.se/resolve?urn=urn:nbn:se:lnu:diva-48336.
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In the Master Thesis research is carried out into the influence of national culture on the implementation of knowledge management (KM) systems, as well as providing the actions which should be carried out for successful implementation. Research was conducted in the Ukraine and the Czech Republic. The Master thesis starts with an explanation of the problem area, a review of the main definitions necessary for understanding the studied field: foundation of national culture and knowledge management are reviewed. Relevance of the topic is explained by the fact that usually more attention is paid to knowledge sharing than its creation, and if we ignore the fact of national culture, the used theories may lead to a collapse of the system of knowledge management, as they should be modified from country to country. Theoretical framework contains a literature review with information about the concept of knowledge and how to create it within an organization, properties of the knowledge base from which stems knowledge management system and its development. Aspects of national culture and organizational models are also described. Typology of culture proposed by Geert Hofstede, is presented, which is taken as a basis for conducting the research. Individualism and Collectivism dimension from his typology are descried in detail. Because of widespread criticism of Hofstede’s work, the main arguments “against” it were provided. Typologies of such researchers as Triandis, Kim, Kagitcibasi and Berry were reviewed to explain why they are not applicable to this study. Soft System Methodology, rich picture, is used to describe the process of implementing Knowledge Management Systems, as well as the processes required for solving problems and eliminating the identified barriers. Through Kotter's 8-Step Change Model reflected actions for implementing of Knowledge Management System and they are showing in rich picture what in addition with concomitant actions creates complete model for KM system implementation. As a philosophical worldview of the research, Social Constructivism was selected. For data collection, it was decided to create a survey which gave qualitative and quantitative data. Steps of survey creation and how it was delivered to respondents are explained, as well as data analysis and sampling methods. Paper provides practical application of gained knowledge. It explains identified barriers to the implementation of KM system, comparison of Ukrainian and Czech Republic companies in the context of KM, as well as KM on a national level. Described in detail is the creation of rich pictures which reflects the model of implementing KM System. While conducting the research it was proved that national culture affects the style of doing business and the process of implementing a knowledge management system in particular. In order to go deeper into the details of the differences that can exist between countries, the discussion talks about features of the national cultures in Europe, where research has been conducted, and Asia, as Chinese culture is one of the most influential countries. In conclusion, different levels of individualism are found in the studied countries. According to the results of the study and received data, it is safe to say that the question of the influence of national culture on the process of implementing a KM System exists and plays an important role. Opportunities for further research are given.
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Konopová, Tamara. "Vliv disperzních zdrojů na DS 22 kV při vřazení transformovny TR 110/22 KV." Master's thesis, Vysoké učení technické v Brně. Fakulta elektrotechniky a komunikačních technologií, 2018. http://www.nusl.cz/ntk/nusl-377062.
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This thesis deals with the issue of power flow analysis in a medium voltage (22kV) distribution network with a focus on the influence of distributed energy generation recources. At first the issue of operation of distributed energy resources and their reverse effects on the distribution system is presented in the thesis. Furtherly there are described their operational conditions from the legislation point of view. The part dealing with calculation compares two network configurations in terms of power quality and how the power quality is impacted by distributed energy resources. The attention is given to voltage conditions, short-circuit power, power conditions, losses and flicker. The first configuration corresponds to the real situation in the network, the other one is describing the changes after the new 110/22 kV substation implementation to the power supply area and the overal change of network configuration. The network model and run simulation is done using the E-Vlivy program.
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Bauer, Roman [Verfasser], and Guido [Akademischer Betreuer] Schneider. "The KdV and Whitham limit for a spatially periodic Boussinesq model / Roman Bauer ; Betreuer: Guido Schneider." Stuttgart : Universitätsbibliothek der Universität Stuttgart, 2016. http://d-nb.info/1118507584/34.
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Ferreiro, Rangel Carlos Augusto. "Molecular simulation studies in periodic mesoporous silicas SBA-2 and STAC-1 : model development and adsorption applications." Thesis, University of Edinburgh, 2011. http://hdl.handle.net/1842/5272.
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Adsorption is a low-energy separation process especially advantageous when the components to be separated are similar in nature or have a low molar concentration. The choice of the adsorbent is the key factor for a successful separation, and among them periodic mesoporous silicas (PMS) are of importance because of their pore sizes, shapes and connectivity. Furthermore, they can be modified by post-synthesis functionalisation, which provides a tool for tailoring them to specific applications. SBA-2 and STAC-1 are two types of PMS characterised by a three-dimensional pore system of spherical cages interconnected by a network of channels whose formation process was until now obscure. In this work the kinetic Monte Carlo (kMC) technique has been extended to simulate the synthesis of these complex materials, presenting evidence that the interconnecting network originates from spherical micelles touching during their close-packing aggregation in the synthesis. Moreover, for the first time atomistic models for these materials were obtained with realistic pore-surface roughness and details of the possible location of its interaction sites. Grand Canonical Monte Carlo (GCMC) simulations of nitrogen, methane and ethane adsorption in the materials pore models show excellent agreement with experimental results. In addition, their potential as design tools is explored by introducing surface groups for enhancing CO2 capture; and finally, application examples are presented for carbon dioxide capture from flue gases and for natural gas purification, as well as in the separation of n-butane / iso-butane isomers.
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Fang, Zaili. "Some Advanced Model Selection Topics for Nonparametric/Semiparametric Models with High-Dimensional Data." Diss., Virginia Tech, 2012. http://hdl.handle.net/10919/40090.
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Model and variable selection have attracted considerable attention in areas of application where datasets usually contain thousands of variables. Variable selection is a critical step to reduce the dimension of high dimensional data by eliminating irrelevant variables. The general objective of variable selection is not only to obtain a set of cost-effective predictors selected but also to improve prediction and prediction variance. We have made several contributions to this issue through a range of advanced topics: providing a graphical view of Bayesian Variable Selection (BVS), recovering sparsity in multivariate nonparametric models and proposing a testing procedure for evaluating nonlinear interaction effect in a semiparametric model.
To address the first topic, we propose a new Bayesian variable selection approach via the graphical model and the Ising model, which we refer to the ``Bayesian Ising Graphical Model'' (BIGM). There are several advantages of our BIGM: it is easy to (1) employ the single-site updating and cluster updating algorithm, both of which are suitable for problems with small sample sizes and a larger number of variables, (2) extend this approach to nonparametric regression models, and (3) incorporate graphical prior information.
In the second topic, we propose a Nonnegative Garrote on a Kernel machine (NGK) to recover sparsity of input variables in smoothing functions. We model the smoothing function by a least squares kernel machine and construct a nonnegative garrote on the kernel model as the function of the similarity matrix. An efficient coordinate descent/backfitting algorithm is developed.
The third topic involves a specific genetic pathway dataset in which the pathways interact with the environmental variables. We propose a semiparametric method to model the pathway-environment interaction. We then employ a restricted likelihood ratio test and a score test to evaluate the main pathway effect and the pathway-environment interaction.<br>Ph. D.
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Garcia, Renato Letizia. "Soluções exatas para problemas de dispersão de poluentes : modelo difusivo baseado na equação KdV." reponame:Biblioteca Digital de Teses e Dissertações da UFRGS, 2009. http://hdl.handle.net/10183/16485.
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Neste trabalho é apresentado um novo método analítico para a resolução de problemas em poluição aquática. O método utiliza três restrições diferenciais de primeira ordem a partir das quais são encontradas transformações auto-Bäcklund para a equação advectivo-difusiva tridimensional em regime estacionário. Um modelo suplementar, baseado na equação KdV, foi formulado com o intuito de estimar o coeficiente de dispersão resultante da oscilação superficial. Esse fenômeno, provocado pela incidência de ventos, é responsável pela propagação isotrópica do poluente. Esse modelo auxiliar dispensa o emprego de formulações tridimensionais para os casos nos quais a componente de velocidade na direção z possui caráter oscilante, característica típica dos corpos hídricos de baixa profundidade. A formulação proposta fornece soluções exatas em formas de variedades, contendo funções arbitrárias de uma variável. Essa característica proporciona uma redução significativa no tempo de pós-processamento, em particular na confecção de mapas de distribuição de concentração. Isto ocorre porque a estrutura da solução satisfaz as condições de contorno presentes sobre trechos extensos do litoral correspondente. Assim é possível utilizar malhas bastante grossas ou até mesmo dispensar a discretização do domínio, dependendo do seu formato. O tempo de processamento reduzido constitui uma característica fundamental no projeto do sistema de redes de esgoto. Esta aplicação prática exige a simulação de um elevado número de cenários de dispersão de poluentes, oriundos da combinação de tratamento e realocação de cargas de esgoto ao longo do corpo hídrico considerado. Para alguns desses cenários são apresentados mapas de distribuição de concentração para importantes parâmetros de qualidade da água. Esses mapas, que foram obtidos para três parâmetros (coliformes, nitrogênio e compostos de fósforo) concordam qualitativamente com dados experimentais obtidos em campanhas realizadas ao longo do Guaíba.<br>This work presents new exact solutions to the unsteady three dimensional Navier-Stokes equations for incompressible viscous flows. These solutions are obtained by means of split and auto-Bäcklund transformations. The splitting procedure decouples the Navier-Stokes equations into a linear and a nonlinear inhomogeneous system of partial differential equations. The linear system, which contains only viscous terms and time derivatives, is solved via auto-Bäcklund transformations, furnishing the velocity field. The components of the velocity vector are then replaced into the nonlinear system to obtain the corresponding pressure field. At first glance, the solution of the nonlinear system should be carried out numerically by direct integration. However, an auxiliary model for the pressure field was conceived in order to avoid the explicit evaluation of the integrals. The model was obtained from the Helmholtz equations and establishes a straightforward relationship between pressure and velocity fields. The original aim of the proposed work is twofold: find analytical solutions for the Navier-Stokes equations and obtain closed-form expressions to the pressure field as a function of the velocity components. The analytical character of the solutions provides a significant reduction on the time processing required to simulate viscous flows, which virtually reduces to the time demanded to execute post-processing tasks. Taking this fact in mind, a three dimensional scalar formulation for the streamfunction was developed in order to simplify the most time-consuming post-processing task required, e.g., plotting the streamlines around arbitrary shaped bodies. At this stage of development, this formulation is employed to produce streamline maps for viscous flows around a sphere for high Reynolds numbers.
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Moser, David K. "Juxtaposition at 45 km of Temperatures from Rayleigh-Scatter Lidar and Reanalysis Models." DigitalCommons@USU, 2019. https://digitalcommons.usu.edu/etd/7434.
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Weather and climate forecasts are almost exclusively produced by computer models, which use atmospheric measurements as starting points. It is a well-known and joked-about fact that model predictions can be incorrect at times. One of the reasons this happens is due to gaps in our knowledge of atmospheric conditions in areas where measurements don’t often taken place, such as the mesosphere, which stretches from roughly 45-90 km altitude.
A lidar is a device that can shoot out short bursts of laser light to measure things such as atmospheric thickness at a distance. From this information one can then derive the temperature in the upper atmosphere. Using temperature measurements taken by lidar at Utah State University (41.74° N, 111.81° W) and temperatures from three popular atmospheric models, a comparison is made covering the period 1993-2004 at 45 km altitude. This comparison demonstrates poor predictive capabilities of the models at the target altitude and suggests the need for integrating datasets such as lidar data into future models. The modeling community depends on real measurement comparisons to bolster the reliability and credibility of their own work, and the comparison done here is intended to highlight an area in need of improvement.
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Míšek, David. "Analýza signálů z transportních a stochastických charakteristik detektorů záření." Master's thesis, Vysoké učení technické v Brně. Fakulta elektrotechniky a komunikačních technologií, 2008. http://www.nusl.cz/ntk/nusl-217443.
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This Diploma thesis deals with properties of CdTe detectors. This material is ranked among optical sensitive group. This thesis can be thematically divided into two basic parts. The first part describes properties of both elements and the chemical adduct. Selected properties show perfections of the material, which are specializing it to optical area of application. The end of this part contains description of contact metal-semiconductor. This problem is important to comprehension principle the material contact. In second part there were making many measurements. For more accurately compare were first measurements doing without light and then with light. During making measurement was changed wave length and temperature of sample. Key factors were Volt-Ampere characteristics and resistance result with changed temperature and wave length impact to the sample. For better accuracy measurements were done many times. All of data from measurement were cultivate by PC Easyplot programme.
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Kavalírová, Anna. "Studie protipovodňových opatření v lokalitě Maloměřice na Svitavě v km 8,085 – 10,950." Master's thesis, Vysoké učení technické v Brně. Fakulta stavební, 2016. http://www.nusl.cz/ntk/nusl-240002.
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This master’s thesis deals with exploring present conditions in Maloměřice-Brno during floods which is followed by design of antiflood protective structures. Research uses coupled 1D/2D numerical model for flood discharges Q1, Q5, Q20 and Q100 computing. In the last step maps of hazard and draw documentation were made.
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Svensson, Staffan. "Urban building kv. domherren." Thesis, KTH, Arkitektur, 2012. http://urn.kb.se/resolve?urn=urn:nbn:se:kth:diva-96091.
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Vertical village är ett tätt kvarter på östermalm med sammanlänkande trappor och gator som tar dig upp i stadsrummet, en förlängning av staden upp över takåsarna med vidsträckt utsikt. Längs din väg upp mellan gator och gränder nns liv och rörelse. För att skapa denna o-entlighet krävs en öppen byggnad med god förankring till marknivån men istället för ett traditionellt kvarter med o-entlig verksamhet i markplan valde jag att lyfta det o-entliga rummet över takåsarna med utblick över staden. Detta skulle bli ett o-entligt rum på Östermalm som man söker sig till på samma sätt som observatorielunden eller söders höjder. I mitt projekt har jag valt att arbeta med två skalor, den mindre som blir det o-entliga stadsrummet medan bostäder och kontor ger byggnaden sin höjd. Sett från staden ska byggnaden upplevas som en upphöjd fortsättning av gatan med en mindre skala som på ett spännande sätt bjuder in till detta stadsliv. Det o-entliga rummet blir som en hel servisyta i direkt anknytning till din bostad eller kontor och på så vis skapar ett naturligt liv för de verksamma på platsen men även ett öppet stadsrum som alla kan ta del av. Detta gör denna byggnad till en del av staden samtidigt som byggnaden själv blir en stad i staden. Jag ser på byggnaden som ett omprogrammerat kvarter men mer vertikalt än horisontellt, staden får istället bästa läge med utblick över hela Stockholm genom vertikala gator som klättrar upp i stadsrummet. Byggnaden består av vertikala hus för bostäder och i det mellanrummet som uppstår mellan husen bildas kontorsytor en delad programindelning i symbios med två garageplan och ett underliggande Plaza som ger byggnaden sitt podium. Garaget blir även en urban plats i staden som kan användas till mycket mer än bara parkering, det bildar ett torg i tre plan med en hel pelarskog som blir rumbildande
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Lumsden, Christoffer, Emil Backlund, and Oliver Ihloff. "A KMS Success Model : Investigating a Consulting Company’s Knowledge Management System and the Influence of Personalization and Codification." Thesis, Jönköping University, Jönköping University, Jönköping University, Jönköping International Business School, 2010. http://urn.kb.se/resolve?urn=urn:nbn:se:hj:diva-12802.
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<p>Abstract</p><p><strong>Purpose – </strong>The purpose of this paper is to investigate the success of a consulting agency’s KMS, examine the relationships between the factors constituting to its success, and explore possible effects of the knowledge management strategies codification and personalization on these correlations.</p><p><strong>Design/methodology/approach – </strong>This paper is a case study researching a Swedish consulting company’s KMS success using a KMS success model by Wu & Wang (2006). The survey’s results were interpreted using standard multiple regression analysis, which helped to investigate and interpret the correlations between the dimensions constituting KMS success.</p><p><strong>Findings – </strong>The findings in this paper suggest that personalization and codification have an influence on the quality of the correlations between the KMS success dimensions leaving the overall structure intact. Additionally the influence of System Quality on Perceived KMS Benefits and User Satisfaction on System Use were not found significant. <strong></strong></p><p><strong>Research limitations/implications – </strong>This study ‘s main limitiation is a sample size and the case study approach, which limit the generalizability of the results to other contexts.</p><p><strong>Practical implications – </strong>The most important implication of this research is the importance of the user for KMS success. A company needs to focus on improving the benefits a user receives from a KMS, which can mainly be achieved by improving the knowledge made available through the KMS, and by providing a proper basis for the KMS, in order to ensure a minimum level of System Quality. Other factors influencing the success of a KMS are incentives, which can help to increase system use and the quality of system use.<strong></strong></p><p><strong>Originality/value – </strong>The paper shows that when researching KMS success one should take the structure of the company’s knowledge management strategy into consideration. It further proves the applicability of the model in different contexts and its validity for accurately measuring KMS success.<strong></strong></p>
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Hanzlíková, Zuzana. "Studie protipovodňových opatření v lokalitách Husovice a Židenice na Svitavě v km 6,000 – 9,000." Master's thesis, Vysoké učení technické v Brně. Fakulta stavební, 2016. http://www.nusl.cz/ntk/nusl-240244.
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Diploma thesis deals with a suggestion of flood protection measures on the Svitava river in km 6,000 – 9,000. Solved locality is found in Brno, particularly in city parts of Husovice and Židenice. Thanks to used joined 1D and 2D model were made hydraulic calculations for peak water stages Q1, Q5, Q20 a Q100. The outputs of hydraulic calculations were used afterwards for creation of maps of flood danger and drawing documentation of flood protection measures.
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Ahmad, Hesham Saleh Mahmoud. "Development of KM model for knowledge management implementation and application in construction projects." Thesis, University of Birmingham, 2011. http://etheses.bham.ac.uk//id/eprint/1307/.
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Lessons learnt from the construction industry have proved that knowledge management (KM) can enhance construction projects successfully. The existing KM models and tools may have some problems, which cannot be used efficiently and effectively. This research aims to develop a new KM model that overcomes such problems and provides an effective way for managing knowledge in the construction industry. An extensive review and analysis of KM models has been carried out and a KM model was developed to fill the gaps of previous KM models. Interviews with KM practitioners and a questionnaire survey have been conducted to enhance the KM model. A final KM model has been set to provide an effective solution for successful implementation and application of KM in construction projects. Two case studies in the construction industry have been carried out to evaluate the applicability and validity of the proposed KM model and how it can be used to improve existing KM systems. The results indicated that the proposed model can effectively facilitate the implementation and application of KM in the construction organisations. Recommendations are given to improve the future implementation and application of KM in construction projects.
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Hrabovský, Michal. "Návrh rekonstrukce balvanitého skluzu na toku Lomná v km 1,9." Master's thesis, Vysoké učení technické v Brně. Fakulta stavební, 2017. http://www.nusl.cz/ntk/nusl-265698.
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The thesis deals the assessment of the resistance of the existing boulder chute in the river Lomná. At km 1,9 Boulder chute is located in the village Jablunkov. Surface resistance of boulder chute is assessed newly on the basis of non-dimensional shear stress for particle on arbitrarily sloped bed. The calculation of 2D flow was computed by HEC-RAS. On the assessment of resistance was proposed reconstruction of boulder chute.
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Libosvár, Marek. "Studie protipovodňových opatření v lokalitě Žabovřesky na Svratce v km 42,000 – 45,000." Master's thesis, Vysoké učení technické v Brně. Fakulta stavební, 2016. http://www.nusl.cz/ntk/nusl-240067.
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Diploma Thesis deals with the studies of flood protection measures in locality of Brno - Žabovřesky. The work is mainly focused on the calculation of flood flows (Q1, Q5, Q20, Q100 a Q100 neovlivněný) in the area of interest and to proposal flood control measures. Simulation calculations are performed using a coupled 1D / 2D model of the flow of surface water in the bed of the river and its flood area. The results of hydraulic calculations were within the framework the work processed in the form of maps depths, velocity and inundation. Curves levels were indicated in the longitudinal profiles of watercourses.
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Shih, Kuan-Yu, and 施冠宇. "Alternative Methods for Estimating KMV Model." Thesis, 2005. http://ndltd.ncl.edu.tw/handle/39831698385741503922.
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碩士<br>國立交通大學<br>財務金融研究所<br>93<br>In this paper, we introduce the conventional structural credit risk model and propose several different models to approach the default prediction. We apply several different option pricing frameworks which make asset value follows different distribution processes to predict the bankruptcy probability. We hope these distinct setups can predict the bankruptcy probability much accuracy. Finally, we will test these models and compare which one is the best of them.
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Ming-Tse, Hung. "The EDF Predictability of LT and KMV Model." 2004. http://www.cetd.com.tw/ec/thesisdetail.aspx?etdun=U0009-0112200611360830.
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Hung, Ming-Tse, and 洪銘澤. "The EDF Predictability of LT and KMV Model." Thesis, 2004. http://ndltd.ncl.edu.tw/handle/47262447701075810485.
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碩士<br>元智大學<br>財務金融研究所<br>92<br>In this paper we intend to compare the default prediction performance of two alternative structural models, Leland & Toft (1996) model and KMV model which is modified by Leland (2002). The purposes are to measure the probability of default (PD) of obligors by using barrier option pricing formula and then to distinguish which model will have better predictability. We can see that the LT model’s performance of prediction is better than KMV model in investment and C grade. In speculative grade, the both models have a poor performance. We also do comparative static to see the relationship between probability of default and parameters. Finally, we suggest to introduce dynamic default barrier to suit for real world.
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Yaping, Ho, and 何雅萍. "Use KMV Model to Measure Credit Risk of Companies." Thesis, 2005. http://ndltd.ncl.edu.tw/handle/25279475614878657646.
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碩士<br>輔仁大學<br>金融研究所<br>93<br>Abstract
From 1988, the Bank for International Settlements (BIS) has been concerned with the infrastructure and application of risk measurement and management techniques. The 1988 Basle Accord established international minimum capital guidelines that linked internationally active banks’capital requirements to their credit exposures. This Accord was initially developed by the Basle Committee on Banking Supervision, and later endorsed by the central bank governors of the Group of Ten (G-10) countries. The banking industry suggested that banks should be allowed to develop their own internal credit VaR models, in lieu of the 1988 BIS Accord. Over the last few years, a variety of industry-sponsored credit VaR methodologies have been devised, including CreditMetrics and CreditRisk+. Credit VaR models are also developed by various software and consulting firms, the well-known KMV approach which models expected default frequencies is now in use at many U.S. banks.
This thesis applies KMV model to measure the credit risk of electronic corporations. There are two advantages in using KMV model. First, one can easily retrieve the required financial information of all companies from a public database, plug into the model, and then divide firms into credit risk categories according to their default risk measures. Second, the KMV model which was developed from the Black-Scholes Model, already widely accepted by the investment community, can be readily applied to credit risk measurement.
The calculation of the standard deviation of stock returns is based on the Exponentially Weighted Moving Average Model (EWMA) which reacts quickly to changes in the stock market volatility conditions as recent data carry more weights than data in the distant past. The default point is based on four different measures: the liability shown on the balance sheet, the interest-bearing debt, the net liability and the net interest-bearing debt after deducting cash and marketable securities from the liability and the interest-bearing debt. The calculated default distances and default probabilities are sorted and rated, named“Ping rating.”The correlation coefficients among the four default-point measures are investigated to see whether different measures will affect the results substantially. Companies that have already defaulted are collected to test the predictive power of the four default measures. Finally, the paper compares “Ping rating” against Taiwan Corporate Credit Risk Index (TCRI) to investigate their differences.
The major results are as follows. First, the parameter of the exponentially weighted moving average model, the decay factor, is 0.935 which means that recent stock volatility data of the electronic industry in Taiwan carry more weights than data in the distant past. Second, though the four default distance measures are not highly positively correlated, the correlations among the derived four default probability measures are extremely high. Third, the “Ping rating” resulted from the four default-point measures are not highly positively correlated with the TCRI rating, only in the medium range. Among them, the Ping rating from net debt has the highest correlation, 0.59, with the TCRI rating. Fourth, focusing on companies that had already defaulted, we observe that the Ping rating predicts better when taking net debt at the end of 2003 into consideration. Fifth, in comparison with TCRI, we observe that the four default distance measures are negatively correlated with TCRI, and the default probability is increasing substantially when credit rating is at or above “Ping rating” 8. Finally, comparing the differences among the four default distance measures, we observe that after sorting them in order, those located in the last 70 are almost the same regardless of the measures.
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Wen, Chen Yi, and 陳怡文. "Barrier KMV Model for Bankruptcy Prediction : An Empiricial Study." Thesis, 2006. http://ndltd.ncl.edu.tw/handle/16323472210395168005.
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碩士<br>國立交通大學<br>財務金融研究所<br>94<br>This paper compares the KMV model with the down and out call (DOC) barrier model in terms of their ability to predict corporate financial distress. The KMV model is popular in predicting default probabilities, but it assumes that a firm only defaults at maturity and its default point is current debt plus half long-term debt. We would like to test whether the prediction is improved after considering the barrier level. Based on the KMV model, and the DOC barrier framework, this paper adopts the transformed-data maximum likelihood estimation (MLE) method, which is developed by Duan (1994), to estimate the unobserved asset value, asset value volatility and the barrier level. Our data are obtained from the Taiwan Economic Journal databank (TEJ), and we classify our sample into the electronics industry and other industries. Meanwhile, we select the companies listed on the Taiwan Stock Exchange (TSE) as our sample to test whether the prediction is better than the overall sample for each of the two industry groups, respectively. Our data consist of 865 companies excluding the financial industry over the period from 2002 to 2004. The empirical results indicate that the optimal barrier level is about 30% of the estimated asset market value. Default probabilities that are calculated using the DOC barrier model outperform those inferred from a KMV model in terms of discriminatory power.
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Tasi, Shang-ge, and 蔡尚格. "Valuation of Collateralized Debt Obligation：Comparisons between Multi-Factor model and KMV model." Thesis, 2008. http://ndltd.ncl.edu.tw/handle/w3s9m8.
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碩士<br>世新大學<br>財務金融學研究所(含碩專班)<br>96<br>This paper applies the Reduced Form-Factor and Structural Form-KMV model to price the premium of CDO for ” E.SUN bank debt securities assets of the Trust 2005-1”. The discussed models have extended the one-factor model to an multi-factor and assumed the distribution function as Exponential, Weibull and Burr distributions. We also introduce KMV model as another pricing model. Combining the Gauss Copula and the T Copula function respectively, evaluation of the premiums and comparison with the market prices are performed.
For the factor model, some empirical results are rather deviated from the real coupon rate under different assumptions; Referring to the KMV model, the results are rather near the real coupon rate, but it is constrained with some conditions. Under the discussed survival functions of assets, the credit spreads estimated by Exponential distribution are the largest, next the Weibull distribution and Burr distributions’ are the smallest. The estimates under the T Copula function greater than those obtained from the Gauss Copula function.
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Chen, Po-Wei, and 陳浡煒. "Financial Distance Prediction Model for Taiwan Electronics Industry：Application of KMV Model and CUSUM Model." Thesis, 2009. http://ndltd.ncl.edu.tw/handle/5uut3k.
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碩士<br>銘傳大學<br>財務金融學系碩士在職專班<br>97<br>The purpose of this study is to investigate KMV model and CUSUM model to predict the possibility of company default risk. Using electronic companies’ database which had financial crises versus regular companies’ databases in Taiwan stock market from 2003 to 2007 to build up the model and then use 2008’s database as test sample to verify either KMV model or CUSUM model is more applicable in predicting financial crises.
The study indicates both KMV and CUSUM model can reveal some clues before company’s financial risk. However, Taiwan stock market is easily influenced by man’s activity, KMV model uses stock price as database can be faults in short period. In the other case, CUSUM model uses a series of information; accumulate a serial financial ratio data; using financial report approved by accountant, thus, CUSUM model is less influenced by man’s activity. The conclusion of this study indicates that CUSUM model is more effective than KMV model in predicting the company financial risk.
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Wang, Mei-Chi, and 王美琪. "The Study of the Financial Distress Prediction Model for Private Firms–KMV Model." Thesis, 2007. http://ndltd.ncl.edu.tw/handle/36769005114208205710.
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碩士<br>國立高雄第一科技大學<br>金融營運所<br>95<br>ABSTRACT
Under the framework of the New Basel capital Accord implemented in 2006, the financial institutions incline to adopt Internal Models Approach to establish the internal credit risk model. However, whether the financial institutions will succeed in predicting a default risk before admitting loan application from private firms will be a difficult task to be examined.
The purpose of this study is to use KMV, Private Firm Model based on Merton Model, to evaluate default probabilities of sample companies to early detect the credit crisis in the private firms.
The samples used in this study were the 1500 private firms in Taiwan which were regularly analyzed every year from 2001 to 2005. The main point in the research was the default probability improvement, using the Standard & Poor’s rating default probabilities instead of KMV’s database of default probabilities. With the result of the probability, I associated the financial variables with it to establish a financial distress prediction model. The result showed that some of the firms’ probabilities are greater than 1, so I used the Logit formula adjustment ranging from 0 to 1. This article also test two aspects to validate whether they are different in predicting power. (1) The firms’ scale is divided into big and small size. (2) The model brings into the credit variables. We use the validation technique which is Receiver Operating Characteristic (ROC) to evaluate the discriminative power of credit rating models.
The empirical results show as follows: First, the recombination company’s credit variable’s model has superior performance to others. Next for the model distinguish between the firms’ big or small scale. The model only financial variables exploited is even using the different independent variables to test by three times is still badly performance.
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Wei, Chiu Chi, and 邱繼緯. "Credit Risk Rating of KMV Model Adjusted for Expected Loss." Thesis, 2006. http://ndltd.ncl.edu.tw/handle/85431882573063265141.
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碩士<br>輔仁大學<br>金融研究所<br>94<br>This thesis is based on Moody’s KMV model. To calculate the volatility of stock returns, we use the exponential weighted moving average model（EWMA）to capture the dynamic feature of volatility with the latest observation carrying the highest weight.
In practical applications, we find a major problem with respect to the KMV model. We should incorporate the expected operating results of companies in the KMV model, in particular, the downside risk. In theory, the most critical assumption of the Black-Scholes model is that it is applied to options in the financial market and thus, a riskless, arbitrage-free portfolio can be constructed. That is, the model provides a risk-neutral solution without having to considering the risk premium or the expected return of the stock. However, when the model is applied to predict corporation default probabilities, the setting is less likely to be risk-neutral and may have to take the expected operating results of corporations into consideration. This thesis adopts a non risk-neutral modification with a simplifying assumption that the company’s operating result will remain negative when it suffered two consecutive annual operating losses. Then, we calculate the trend of losses to estimate the expected loss by adding it to the total borrowing and re-estimate the default distance.
The major results are as follows. First, the parameter of the exponentially weighted moving average model, the decay factor, is 0.928311959. Second, we use Cluster Analysis to analyze the power of these two models. We find that KMV model adjusted for expected loss improves significantly over the original model. Third, we draw the ROC curve and find the same result as Cluster Analysis. Fourth, we find that incorporating the effect of expected loss is essential for the group of high credit risk corporations. Finally, the KMV model adjusted for expected loss has higher explanatory power than the KMV model with respect to TEJ credit risk ratings.
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Hsu, Chun-Pin, and 許峻賓. "An Empirical Study of KMV Model Applied in Financial Distress." Thesis, 2004. http://ndltd.ncl.edu.tw/handle/23293270026817368934.
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碩士<br>真理大學<br>財經研究所<br>92<br>Previous studies pointed out that the financial distress model, made by financial ratios, could obtain excellent financial distress predicting, but there were fewer studies considering the impact of distance to default and expected default frequency. This study will add these variables in model of financial distress and observe whether these variables make the construction of financial distress model better accordingly. Using factor analysis to choice input variables and applied Logit and ANN model to construct the period between 1 years to 2 years before financial distress model, and test whether considering financial explanation variables, distance to default, expected default frequency could increase classify correct ratio. Results show that, the correct ratio of 1 year before financial distress is higher than the 2 year. The credit risk variables decrease the correct ratio of full samples however it increased the correct ratio of test sample.
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邱珮瑜. "A study of liquidation by creditor based on KMV model." Thesis, 2010. http://ndltd.ncl.edu.tw/handle/58083484689039155890.
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TSAI, SHU-YUAN, and 蔡淑媛. "Financial Distress Prediction Models Combing Z-score Model and KMV Model: Evidence from Publicly Firms in Taiwan." Thesis, 2017. http://ndltd.ncl.edu.tw/handle/3ytv43.
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碩士<br>國立高雄應用科技大學<br>金融系金融資訊碩士班<br>105<br>This study provides a financial distress prediction model that combines the Altman’s Z-score Model and the KMV Model’s DD and EDF. We use the data of Taiwanese listed companies or OTC from January first, 2001 to September 30th, 2016 to build revised Z-score Model for different time periods and different industries and then compare the accuracies of the models.
The empirical result shows that, if focusing on the Type I Correct, the original Altman’s Z-score model is outperforming than other models no matter in the different time periods or industries. If focusing on the Type II Correct, the backward model is the best in the different time periods or in the electronics industry and the other industry, the stepwise model is recommended in building material and construction, and for the optoelectronic and the manufacturing the best models are the forward and the stepwise model.
Moreover, in the industries those easily affected by the market; for instance, the optoelectronic and the building material and construction, the accuracies are obviously improved after adding the DD or EDF.
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Yang, Shih-chuan, and 楊適銓. "Exploring the definition of default point of KMV model by threshold regression." Thesis, 2008. http://ndltd.ncl.edu.tw/handle/26rpc3.
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Hsu, Ying Mien, and 許英棉. "An Empirical Study of KMV Model on the Measurement of Credit Risk." Thesis, 2008. http://ndltd.ncl.edu.tw/handle/c7r2ry.
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碩士<br>國立高雄第一科技大學<br>財務管理所<br>96<br>This paper is aimed to estimate the distance to default (DD value), which is used as a proxy of corporate default probability, based on the KMV model. We select two groups of financial ratio variables, with highly accurate prediction by domestic scholars, and try to investigate the relationship between the financial ratio variables and DD value. We use the default corporations trading in Taiwan Stock Exchange and OTC as our research samples. The total number of default corporations is 60 and the sample period in this study is set from the year 2004 to 2006. The empirical results indicate that, First, the default corporations suffer negative profit and insufficiency of cash flows in their corporate operations before the occurrence of default events. However, the financial leverage ratio is higher than 3 times, this shows the equity is positive and can still sustain its cash outflow of liability. Second, there is a negative relationship between financial structure and debt management, asset management and profitability ability. Thus, the financial structure decision is critical to the whole corporate operation and the financial manager must pay attention to this issue. Third, the DD value referred as the proxy of default probability is directly related to the ability of profitability and asset management. Especially, the profitability ability (retained earning / total asset) variable proves to be significant one year to three years before the occurrence of corporate default. We conclude that the profitability ability variable has played a critical role for the steady operation of the firm.
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Wang, Chang-Hsiang, and 王長湘. "Application of KMV Model to Evaluate Credit Risk and Corporate Crediting Performance." Thesis, 2008. http://ndltd.ncl.edu.tw/handle/9wm4t2.
Full textAbstract:
碩士<br>銘傳大學<br>財務金融學系碩士在職專班<br>96<br>This research mainly analyzes the performance of financial institutions, including the concept of the credit risk, on corporate crediting. It measures the performance of crediting cases of one listed bank by using risk-adjusted return on capital, RAROC, and comparing full-cash delivery listed companies and the rest of listed companies from 2000 to 2007 in Taiwan stock market. Besides KMV model analyzes the threshold of the default rate in one quarter, half year, and one year.
According to the research, KMV model has significantly predicting ability on default situations of listed companies in Taiwan. The default threshold, derived from sensitivity analysis, has more then 80% judgment competence. Therefore, the financial institutions of our country can use the law to raise the competences of the credit-risk prediction.
After calculating out default rates, the performance evaluation of crediting cases of one listed bank by using RAROC discovers that the bank has the relative good result on crediting performance. In addition, it finds out, due to the relationship of market competition, the interest rates of 60% cases below theoretical crediting interest rates by using that bank’s ROE as the pricing goal and RAROC as the theoretical crediting interest rate.
Finally, as described, the study suggests that each financial institution can try to establish risk-measured model by themselves. This not only can help to decrease the risk of loan by bank, but also increases the efficiency of fund. Moreover, it can create the most benefit for company according to the new Basel capital accord.
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Tsai, Shiau-Ting, and 蔡効廷. "The study of credit default swap pricing-The application of Hull-White model and KMV model." Thesis, 2011. http://ndltd.ncl.edu.tw/handle/11435353157751612101.
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碩士<br>國立中興大學<br>財務金融系所<br>99<br>The credit risk did not be concerned with investor before 1990. However, there are many companies have raised the credit crisis and bankruptcy since 1990. These events have also been occurred in Taiwan. Therefore, the measurement and monitoring of the credit risk has begun a big issue in risk management. In this study, the author selected the 18 electronic service companies which had issued the bonds and listed in Stock Market from the year of 2000 to 2010 for CDS spread calculation. The KMV model and Hull-White model is applied to CDS spread calculation.
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Chyn, Shiue-Fu, and 秦學甫. "A Study of the Effectiveness on the Applying of KMV Model for Financial Distress Prediction Models." Thesis, 2014. http://ndltd.ncl.edu.tw/handle/14648711386374574105.
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Wu, Tzu-ling, and 吳紫菱. "Analyzing credit risk in Taiwan business by applying KMV model with solvency capacity." Thesis, 2008. http://ndltd.ncl.edu.tw/handle/s9xaug.
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Wang, Jui-ming, and 王瑞銘. "The Analysis by Quantile regression- Redefinition of Default Point of the KMV Model." Thesis, 2008. http://ndltd.ncl.edu.tw/handle/fttprq.
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Lee, Hsin-Yi, and 李欣怡. "A Study on Default Prediction with the Modified KMV Model for Taiwan Companies." Thesis, 2005. http://ndltd.ncl.edu.tw/handle/15483743489247533996.
Full textAbstract:
碩士<br>國立東華大學<br>國際經濟研究所<br>93<br>This study adopts the modified KMV’s option model and uses the Taiwan TSEC and
OTC-listed companies with financial crises to investigate the expected default frequency and
the distance of default. We relax the original assumptions, that asset’s volatility is constant
and that the asset pays no dividend, in the Black-Scholes and Merton model to explore the
case of stochastic volatility and dividend payment. We apply the pairing method in the
Altman’s Z-model to compare financially troubled companies to healthy companies with the
similar scale in the same industry. It’s found that the financially troubled companies have a
higher default probability than that of the normal companies in the modified KMV framework.
In general, the companies indicate a higher default probability one year prior to default than
that two year prior to default. The result in the logistic regression concludes that the modified
KMV model can effectively predict corporate credit risk.