Applied Study On The Credit Risk Measurement Of Listed Companies Based On KMV Model

Credit risk as one of the most significant financial risks is a great challenge faced by the financial market of our country. Especially after China's accession to WTO, measurement and management of China's credit risk becomes more and more obvious. With economic globalization, rapid development of financial markets as well as increasingly fierce financial competition, presently the traditional measurement of credit risk methods adopted by China has been unable to meet the current needs of the work of credit risk measurement. Therefore, this paper is to develop a credit risk measurement model applicable to our country by drawing on the advanced measurement models internationally.This paper first introduced the definition and characteristics of credit risk, and then divided the foreign credit risk measurement methods into traditional methods and modern models to describe, in which the expert method, the credit scoring method and the neural network method were described in the traditional methods of measurement as well as shortcomings and deficiencies in these methods; in the modern models, it was mainly to introduce Credit Metrics model, KMV model, Credit Portfolio View model and the Credit Risk + model, all of which have been widely applied and studied internationally, and choose KMV model, more suitable for China's actual situation to research after analysis of the theoretical approach, application steps, advantages and disadvantages and applicability of these models. Then, its theoretical basis and methods were specifically described and discussed on parameters, and according to results of the discussion setting of its default point was modified. As the listed companies specially handled basically have no long-term liabilities, long-term liabilities of the non-ST listed company account for a low e proportion generally in the balance sheet, and the paying pressure of long-term liabilities is far lower than short-term liabilities, coupled by one year valid generally set for the credit risk measurement of KMV model, thus, the default point was modified by considering the short-term liabilities as affecting factors. After studies of the development sample constituted by blue-chip stocks and ST stocks and the test sample constituted by sub-new stocks, it can be found that KMV model is most effective and reasonable when the default point is at the 60% position of short-term liabilities. Finally, this paper summarized the work contents and shortcomings of this paper and proposed the direction for further research on China's application of the KMV model for measuring credit risk.