Based On KMV Model And External Credit Rating Credit Risk Measurement System Study

With the boom of the securities market in last decades, more and more companies through listing to get the capital, which in order to expand the operation scale. With an increasing number of listed companies, the market also accumulates an increasing deal of credit hidden danger. Once the outbreak of a listed company credit crisis will enable investors and creditors suffered huge losses. How to measure the credit risk of listed companies and judge their credit level accurately, for investors and creditors have important practical significance.Corporate credit rating is targeted at corporate credit evaluation and appraisal process. Its role is to reveal the credit risk, with a simple sign on behalf of the commentary which was to issue its securities business or credit conditions, investors quickly and easily be objective and concise information on credit, to provide reference for decision-making and to help investors control credit risk. Based on the above advantages, corporate credit rating is the result of investors to invest in a strong reference to the decision-making. As a result of our credit rating companies do not disclose their credit rating, the specific method of rating mostly as a trade secret, so investors can not take advantage of this excellent and effective credit risk management tools. If the credit rating as the results of an expert on corporate credit rating level of the results, then we can try to adapt to a wide range of credit risk measurement models to simulate the results of its score. This method can achieve the credit rating of the operation, and make the results easy to get ratings.When we select the simulation results of the credit rating of credit risk measurement models, considering most credit rating methods are too dependent on the company's financial indicators and data. So the results of these ratings are limited by the authenticity of financial data. Besides, the financial data only reflect company's history not the company's future prospects and potential risks. The KMV model is based on data of stock market and depends little on financial date, so it can overcome the disadvantages of those traditional rating methods. It is dynamic and forward-looking along with changes in stock prices. Therefore, as the KMV model simulation results of the credit rating of credit risk measurement models in this article.According on the characteristics of model which is based on data of stock market, author will combine the public credit rating of XinhuaYuandong to China's listed companies in 2007 and the credit risk measurement method of KMV model, and expanding the default samples of the rating result, which base on the rating method. Finally we get a Rank Interval of Distance to Default which does not rely on the credit ratings. The test consequence of the Rank Interval of Distance to Default shows that the Rank Interval of DD has a strong applicability in China's securities market.The interval's accurately rate is up to 92.98%. Investors can judge the credit rank of list companies generally with this Rank Interval of Distance to Default, before they carry out their equity investment or purchase of its corporate bonds, which has a certain degree of reference value.