A Study On Listed Company's Credit Risk Based On Modified KMV Model

The research on credit risk of company is a crucial task in the field of financial risk control. In this paper it introduced the theory and applications of KMV model which popular used systematically. For understanding the background of the KMV model, this paper introduce the detail and the newest research condition of structure model which is the basic foundation of KMV model. For china market, the parameters of traditional KMV model may not fit the practice which lead to the wrong results. First of all,the experimental mapping relationship between default distance(DD) and Default frequency (DF) can not be set up which cause the research give way to DD. Second of all, Parameters in the model set does not meet the market risk characteristics which Cause some degree of distance to default error. In order to enhance the model applicability in the Chinese market, this paper try to use TOMPKINS method to calculate the Volatility of equity value, in the same time it use history method to calculate the predictive value of history data,then compare the two predictive value with the actual value and prove that TOMPKINSs method is more suitable for China stock market volatility measure. Through the empirical test described 20% of the'economic day' is reasonable.The different default points directly impact from default distance of company, so from the perspective of financial analysis this paper presents three reasonable options default point, by testing the sensitivity of different default point to select the most appropriate default point.This paper uses the ROC curve to test the model's ability of individual recognition under different default point.Finally, through detailed empirical analysis and model checking to prove that the revised KMV model has considerable applicability and predictive power in the Chinese market.