The Credit Risks Measurement Of Listed Company And The Empirical Study Of Risks Affecting Factors

KMV credit risk model is one of the mature models which measure credit risks. Based onoption pricing theory, utilizing the stock market data, the model has a bright future in credit risksmanagement. On the assumption that the capital value volatility(σA)is submit to standard normaldistribution, KMV supplies a method to solve out two parameters(VA, σA) with two nonlinearequations, and then calculate the value of Default Distance(DD). This paper expatiates on thecredit risks measurement principle of KMV model, and applies this model on the credit risksevaluation of Chinese listed companies. This paper selects the energy sector in Shenzhen StockMarket as the sample empirical data. Considering the abnormal equity structure of Chinese listedcompanies, this paper revises the method to calculate VE and DD with Excel software. This papershowed a application of the KMV model in the credit risks measurement of Chinese listedcompanies. In the end, this paper conducts a regression analysis on some risks affecting factorsand the result shows that the liquidity, company management, pullulation have a significantinfluence on the energy companies' credit risks.