After one day of research i did not figured how to compute the input volatility for PRIVATE COMPANY in order to calculate the PD.
My goal is to compute the PD of each of my company in my portfolio, all companies are private companies. To do that i found 2 models that can fit my expectation:
The Merton's Model and KMV model.
Problem for both I cannot figured it out how to calculate the volatility.
For your information, I have accounting data at least for 3 years up to 10 years for some companies.
I could send you my excel sheet if you would like. It is very important for me as it is part of my master thesis.
Thank you in advance for your help.