Research On Credit Risk Dynamic For Listed Corporations In China Based On KMV Model

Credit risk has always been one of the most important risks confronted by commercial banks, and it has been one of the most common reasons leading to bank failure. Along with international banking crises occuring, international banking and academic circles have realized deeply the significance of the researches on credit risk management technology for banks, also the financial instructions, investors and the owners of the corporations pay much attention on it. Therefore, the theories and technologies of credit risk measuring, forecasting and avoiding always appear extremely important in the field of finance. Measuring credit risk is the core and the most important in the risk management. There are already many research achievements on the credit risk measuring methods of listed corporations all over the world. In general, the methods can be divided into the traditon models and the morden models, the former ones are based on subjective assessment and the others are based on the data of the corporations. As the financial market environment changes and credit derivatives develop, credit risk possesses new connotation. Therefore, the traditonal methods can not assure the efficency and accurate of the credit risk measuring results. The modern models based on the market pricing theory, utilizing the stock market data, have been developed and used by many banks. It will be one of the greatest challenges in the field of finance for commercial banks to study management technologies of credit risk. When much research effort is paid and much fund is invested into the research of credit risk, many new models and methods have been developed and put into practice. In additon, due to histories and systems, technologies managing credit risk of Chinese banking still are rather backward. Moreover, credit risks of Chinese banking will be gradually revealed with the expanding of the degrees of financial market opening, and with the promotions of proceeding to China interest rate marketizaion, and with the accelerating of financial products innovation steps. There will be possibly greater crisis occurred because of credit risk. Consequently, the dissertation is very significant not only theoretically but realistically.After the study of the modern measuring models, we focus on the KMV model. According to the KMV model, combining the reality of listed corporations in China, the mathematical frame of default rate forecasting and its dynamic version is presented in the dissertation. Also the model is applied to the listed corporations in Chinese stock market. It is hoped that the model could be applied to commercial banks, and help the commercial banks in China enhance the level of credit risk management.The dissertation consists of five parts. It goes like this: In part one, it introduces the relative concepts of credit risk measurement. In part two, it evaluates the modern credit risk measurement models. In part there, it presents the framework of KMV model in detail, and put forward the dynamic ones of KMV model. In part four, it applys the model to the listed corporation in Chinese market. Part five is the conclusion, it shows the limitation of the application in China and some suggestions.Owing to the limitations of the author's capacity, the dissertation doesn't yet make further research on some problems of credit risk measuring technologies. Imprvement is still to be made to the models of credit risk measuring. More efforts and researches are still needed.