Applications Of The Revising KMV Model In Credit Risk Measurement Of Chinese Listed Corporations

In the past 20 years, a complete set of model system have been developed in the field of the international credit risk measurement. There are four more influential measurement models, including Credit Metrics Model by J.P. Morgan, KMV Model by KMV Company, Credit Risk+ by Credit Suisse Financial Products, Credit Portfolio View by McKinsey & company. These models have certain reference significance for credit management of Chinese listed corporations. Thus, studying the international advanced credit risk management model and applying them to Chinese credit risk management practices have important theoretical and practical meanings, which will improve the level of Chinese credit risk and be good for the establishment of a new model for Chinese situation.KMV Model is developed from western mature market system, and it may not be fully applicable to the market of developing countries. So the thesis adjusts the calculation of model's related parameters to make the model more suitable for Chinese listed corporations'credit risk measurement. As a result, this paper is divided into five parts to analyze:First, introduction, discuss the background and significance of the thesis, and expound domestic and international credit risk management research in the literature; second, outline the definition and causes of credit risk, and describe the classical and modern credit risk management methods, moreover, compare the features and advantages and disadvantages of four modern credit risk management model, and analyze the applicability of these model in Chinese listed corporations; Third, describe the principle and calculation process of KMV model in detail, and according to the Chinese stock market's situation, adjust the calculation of the stock market value and default point; fourth, on the base of the above study, the thesis selects 32 ST corporations and non-ST corporations as the empirical study sample, measure their respective distance to default using the KMV model and analyze and test the results, use the Eviews, MATLAB and SPSS to process the data in the computation process; finally, summarize the contents of the thesis, and point out the shortcoming and problems to be solved. The empirical results show that the mean DD of ST corporations is less than the mean DD of non-ST corporations, the difference between two kinds of corporations' DD is significantly under a certain confidence level, which confirm that KMV model is able to identify the credit risk difference between the ST corporations and non-ST corporations, and more accurately grasp the changing trends in the credit quality of Chinese listed corporations...