Abstract: Malaysian Airline System Berhad (MAS) is the first airline company in Malaysia. MAS shows a rapid increment in achievement by providing airline services to the entire world with over 111 destinations. However, the available of various factors such as competition among airlines, fuel prices increment, poor management and air crash challenge MAS to do better in strengthening its buffer. To this extent, credit risk management is extremely needed to avoid further loss. There are several methods used to manage credit risk and one part of it is by forecasting the probability of default. In this study, KMV-Merton Model is introduced to forecast the probability of default of MAS starting from the year of 2009-2013. KMV-Merton Model is derived according to the scope of the study. Data is collected over the selected years and then implemented to the KMV-Merton Model. The forecasted default probabilities and its determinants are also analyzed. It is found that there is an increment in the forecasted probabilities of default of MAS from 2009-2013. The highest forecasted probability of default is found in the year of 2013 and it is around 31%. The forecasted probabilities of default are said to be equivalent to the financial loss faced by MAS from 2011-2013. Therefore, the KMV-Merton Model is concluded as a valid model to be used in forecasting the current and future default of MAS. In addition, volatility and leverage are found to be the main determinants in forecasting default probabilities.