Measurement On Credit Risk Of Listed Companies Based On KMV Model

For the same purpose of expansion, more and more companies go to public to finance with the boom of the stock market. The credit problem also stands out along with the development of the stock market. The deterioration of company operation results in the abnormity of financial conditions, and finally the credit risk goes up. All of these bring in great loss to investors and creditors, so it is practically meaningful to identify company's potential credit risk in advance and correctly measure it so that the investors and creditors can take relative measurements to evade risk in time.There have been many methods internationally to measure the credit risk. Traditional models mainly depend on financial data and index, so the results of these models are limited by the authenticity of financial data. But the accounting information of the listed company in our country is seriously distorted which is fairly disadvantageous to these models' results. Besides, the financial data only reflect company's history not future. So traditional methods only have limited effects. The KMV model is based on data of stock market and depends little on financial date, so it can overcome the disadvantages of traditional methods. It is dynamic and forward-looking along with changes in stock prices. The KMV model doesn't have high demands for the effectiveness of the stock market, so it is more adaptab!e to weakly effective market like our country. This paper resets the important parameter of this model-DP and also improves the option pricing formula in order to make this model more adaptable to our market.There are five chapters in all in this paper. Chapter one is introduction. It expatiates the meaning of this research and the relative literature in and out of the country about credit risk measurements. Then it introduces the relative researching situations about KMV model in our country. It also gives the researching route of the paper at the end of this chapter. Chapter two mainly introduces the principle of KMV model. This paper revises some of the model's parameter in order to make it more adaptable to Chinese market. It resets the default point and also changes the parameter of the option pricing formula. Chapter three is the process of empirical study. It takes a ST company for example to introduce the computing process of the model. This paper only chooses one specific industry for empirical study in case different industries have effect on credit risk conditions. Chapter four is the result of the empirical study and its analysis. The result shows that the revised KMV model is highly adaptive to Chinese market, and consistent with the result of credit rating. The accuracy of this model can reach 82.27%. Chapter five is conclusion. It sums up the characteristics of this paper and put forward some problem for further study.