Research Of Credit Risk Measurement Of Listed Companies Based On Option Pricing Theory

Technology and management are two wheels to drive economy development and society progress, not a single one can be omitted , and they are supplement each other.Knowledge of credit management are now separating from finance, finance management and economics, gradually becoming a rising discipline. Nowadays in China, credit management is in the ascendant, forming step by step major operating system from degree education to national vocational standard and practical credit management in the social economical units. Credit risk measurement is the basis and one of main contents of credit management. Traditional ways of credit risk measurement have been lagged behind present changing quickly situation of society, and also not meeting the need of scientific measurement and efficient management of credit risk. So, we need to set up new measurement models to fit our country credit management level.In theory and practice, this paper researches KMV credit risk measurement basing on the option pricing theory which has become the domestic academic hotspot. This paper consists of six chapters. Chapter One introduces the background and the practical significance of this study. Chapter Two reviews the literature of foreign and domestic academia on the study of KMV model, and analyzes the limitations of the study on KMV model in our country. Chapter Three from the point of history view illustrates the main methods in measuring credit risk, and providing a reference to KMV model in context. Chapter Four explains KMV model's main content consisting of theory foundation including the option pricing and effective market theory etc. Chapter Five puts forward KMV model practical frame in our country, and designs the ways to building the industry KMV model. Chapter Six sums up this paper, and points out the limitation of the study in this paper, the study direction in the future.This paper took an approach combining theoretical and practical analysis. A few creative points were made in such areas as concluding amendment of KMV model in domestic , and launching KMV model practical frame and concept of industry KMV model.