Improvement Of KMV Model Under Market Segmentation And Its Empirical Research

Credit risk measurement is a key step in credit risk management. In 2008, American subprime mortgage financial crisis has once again demonstrated the serious harm to economy and our society that ignoring the credit risk management. For this reason, this article focused on credit risk measurement and selected the well-known KMV model as the main object of study. The main content of this paper can be broadly divided into two parts. The first part demonstrated a more detailed overview of the credit risk and theories of credit risk measurement, highlighting the theory, principles and application framework of KMV model. The second part established the KMV model under the condition of market segmentation based on the theory of KMV model, and then using the new model to do empirical analysis for A + H shares. To verify the practicability of the new KMV model, establishing one Z-score model and doing Empirical Comparison with the KMV model established under the condition of market segmentation. The results show that the new KMV model has a better discriminatory power in credit quality.Innovations of this article are reflected in two strands. Firstly, changing the traditional research model and extending single-market KMV model to a new model that existed market segmentation. Secondly, the comparison test is novel between KMV model and Z-score model.