Research On Credit Risk Measurement And Application In China Bank Of KMV Model

Credit is an important part in our life. Credit risk is one of the major risks in front of the financial institution(sBanks and Institutional investors,in Particular).It directly influences the various aspects of economic life in Modern society,also a country's macroeconomic Policy-making,and the stability and coordinated development of the global economy at large,With the frequent occurrences of financial crisis, corporate defaults happened all the time. The academies society are fully aware of the increasingly important role of credit risk model research in asset Price setting and risk management. A large number of credit risk models are thus produced. Subprime mortgage crisis ripple effects even make people more concerned about risk management, on the prediction results more seriously.This article used qualitative and the demonstration method to carry on the theoretical analysis and the real diagnosis examination research to the credit risk measure model. First, introduce the credit risk correlation theories ,the credit risk measure model development course, divides the credit risk measure model into the classical measure model and the modern measure model two kinds; Next, in this foundation introduced with emphasis several kind of modern measure model the primary coverage, the characteristic and the good and bad points, and have made the detailed correlation to them from model itself and China's feasible two aspects, thus obtains the KMV model to be suitable for our country at present national condition; Once more, introduce the KMV model theory in detail including the foundation and the primary coverage, introduced the KMV model the integrity, including KMV model applies in the firm come into the stock market; and analysis the KMV model in Our country enterprise by using our country's newest data of corporate in stock market; Finally, make a conclusion of this paper, including the empirical analysis of findings, study limitations and directions for future research of three sections.This paper is to solve the two problems, first set the KMV model parameters can be modified to better adapt to China's national conditions, the second is the KMV model in the application of Chinese listed companies to evaluate credit risk, the prediction capabilities. For the first question, the paper points to the KMV model's default settings, our method for finding the rate of equity volatility have been explained in detail and contrast, obtained by model checking the KMV model revised to better fit the market situation in China now, but In the second question, the original by the latest data and model prediction results were compared, the accuracy of the model with an objective assessment.