ESTUDO EMPÍRICO COMPARATIVO DOS MODELOS KMV PADRÃO E KMV NAÏVE NO CONTEXTO BRASILEIRO.

The paper investigates the behavior of one of the most important credit risk assessment models, the KMV, based on Merton's (1974) theoretical formulation, in a sample of companies listed on the Ibovespa from 2001 to 2010. Besides the standard KMV performance, a variation of the KMV model, created by Bharath and Shumway (2008) - KMV naïve, was also evaluated for the same sample of companies. Through a sensitivity analysis, in which parameters of both methods were modified, the performance of the models was analyzed in different scenarios. A backtesting analysis was also performed, in which estimated default frequencies were compared with actual defaults of the companies. The results suggest that the naïve model, despite its simplicity, tends to overestimate the risks, indicating that in the case of Brazil, Merton's standard model is more appropriate. [ABSTRACT FROM AUTHOR]