KMV.rar_SIMULINK_kmv_kmv模型

%test KMV %r: risk-free rate %T: Time to expiration T=1;%输入 月数 %DP:Defaut point；DP=SD+0.5*LD;SD: short debt, LD: long debt %D:Debt maket value D=DP;%债务的市场价值，可以修改 %theta: volatility %PriceTheta: volatility of stock price %EquityTheta: volatility of Theta value %AssetTheta: volatility of asset %E:Equit maket value %Va: Value of asset %%%%%%%%%%%变量设定 %sheet1 是股权波动率 EquityTheta %sheet2 股权价值-元 E %sheet3 银行违约点-元 DP %sheet4 无风险利率 r %sheet5 T 将设定债务到期期限 %sheet6 D 债务的市场价值 元 clc;clear; data1=xlsread('textdatafavar.xls','sheet1'); data2=xlsread('textdatafavar.xls','sheet2'); data3=xlsread('textdatafavar.xls','sheet3'); data4=xlsread('textdatafavar.xls','sheet4'); data5=xlsread('textdatafavar.xls','sheet5'); data6=xlsread('textdatafavar.xls','sheet6'); [a,b]=size(data1); for i=1:b for j=1:a EquityTheta=data1(j,i); E=data2(j,i); D=data6(j,i); DP=data3(j,i); r=data4(j); T=data5(j); [Va(j,i),AssetTheta(j,i),fval,exitflag(i)]=KMVOptSearch(E,D,r,T,EquityTheta); %to compute the Va and AssetTheta DD(j,i)=(Va(j,i)-DP)/(Va(j,i)*AssetTheta(j,i)); %计算违约距离 EDF(j,i)=normcdf(-DD(j,i)); %计算预期违约率 end end for m=1:14 for n=1:a DP=data6(n,m); r=data4(n); T=data5(n); d1(n,m)=(log(Va(n,m)/DP)+(r+0.5*AssetTheta(n,m)^2)*T)/(AssetTheta(n,m)*sqrt(T)); d2(n,m)=d1(n,m)-AssetTheta(n,m)*sqrt(T); creditpremiumDP(n,m)=-1/T*log(normcdf(d2(n,m))+Va(n,m)/(DP*exp(-r*T))*normcdf(-d1(n,m))); %内生的信用溢价 end end junzhi=mean(creditpremiumDP); biaozhuncha=std(creditpremiumDP);