Testing KMV model for credit risks: An analytical study on the insurance sector in the Iraqi stock exchange for the period (2010-2021)
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Abstract
The research aimed to test the KMV model to measure credit risk on a sample of insurance firms listed in the Iraq Stock Exchange and to build an integrated theoretical and conceptual framework for insurance and reinsurance, as well as to understand the main concepts used in modeling these risks and their types, The models that framed the possibility of relying on credit rating scales based on the experience and self-analysis of credit risk assessment experts, such as analysis tools (5Cs analysis, the LAPP method, etc.) Hence, the research question is represented by the ability of this model to measure the credit risks of Iraqi insurance firms for the period (2010-2021) represented by five firms, which are Al-Hamra Insurance, Ahliya Insurance, Gulf for Insurance, Dar Al-Salam Insurance and Al-Ameen Insurance, by using the statistical approach by using the programs (Excel, Eviews) for the purpose of calculating And assessing the accuracy of the model, reviewing the intellectual structures and experimental studies that used it and related classifications, as well as the Balanced Panel Data methodology to prove this. Important results that characterize his success in following the firm's value engineering Brownian movement, This makes it valid in determining the relationship between the distance to default (DD) and the volatility of the value of assets, in a way that demonstrates its efficiency in classifying firms rather than determining their hypothetical probabilities, The research also recommends that it is important to have an Econometric model to support any mathematical model to ensure the strength of inference on the research results.
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اولاً. المصادر العربية:
أ. التقارير والنشرات الرسمية:
موقع سوق العراق للأوراق المالية Iraqi stock exchange:
http://www.isxiq.net/isxportal/portal/sectorProfileContainer.html?sectorId=3
ب. البحوث:
قندوز، عبدالكريم أحمد، 2020، المخاطر المصرفية وأساليب قياسها، صندوق النقد العربي، أبو ظبي الامارات العربية المتحدة.
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