The Applicability Of KMV Model's For Credit Risk Measurement In Chinese Listed Companies

The world economy has entered a stage of development of globalization. The level of credit risk measurement techniques have developed rapidly, with advanced ideas and technologies emerging. The found of Black-Scholes option formula not only created a revolutionary situation in financial market, but also brought a new perspective to measure credit risk. At the same time, with the open of China's financial market, the impact of other countries is also growing, and the volatility of the economy has been increasing. The emergence of these new conditions on China's credit risk measurement techniques put forward higher requirements. In contrast to Western developed countries, China's credit risk measurement technology is still in its infancy, proactive credit risk measurement and management reform of financial institutions in China will be one of the priorities for further job.Based on the review of credit risk measurement history, this paper analyzes the credit risk measurement technology trends, focuses on the KMV model which is based on Black-Scholes option formula. This paper selects a wide range of sample data and calculated them one by one, and uses the results analysis the applicability of the model in China from the perspective of micro and macro. It concludes the relationship between distances to default, indicators of corporate credit risk and the macroeconomic data.This paper obtained a conclusion that model can be used to distinguish different risks of business, while the model results can be associated with indicators of corporate credit risk, and the macroeconomic data also be used to validate the model. Ultimately this paper concludes that KMV model can be applied effectively in the domestic circle, and also work with China's current credit rating system. Finally, the paper proposes to strengthen China's credit risk measurement technology policy.