Application Research Of KMV Model In The Credit-risk Management Of Specific Industry

Credit risk is the oldest risk,as well as the most important risk which the Chinese commercial bank faces,so the development of credit risk not only influences finaneial corporations direetly,but also influences various aspects of soeiety and economy. In order to improve the credit risk management level of the Chinese commercial banks and create a new suitable measurement model to our country,it is important realistic meaning to import and study the advanced credit risk management and measurement techniques in the world and apply it to the practice of Chinese commercial bank risk management.In order to make it more suitable for the characteristics of credit risk in different types of industrys,this paper chooses KMV model which is applied widely abroad and is comparatively fit to the situation of China to make an empirical study and makes an adjustment for different types of industrys. This paper can be divided into five parts to analyze:Chapter One is the paper introductory,in this chapter,we introduce the research background,research method,and the situation of study in this field at home and abroad; Chapter Two illustrates the main methods in measuring credit risk,including the traditional methods and modern methods,and makes a comparative analysis between the advantages and disadvantages of the traditional credit risk model and the modern credit model;Chapter Three is about the KMV model theory,in this chapter,we recommends KMV model theory frame,the core thought and the calculation procedure;Chapter Four is mainly about the KMV model's applicability on credit risk measurement in a given industry,in this chapter, some paraments of KMV model will be corrected in order to make it suitable for the characteristic of the industry; Chapter Five is the empirical analysis on KMV model basing on IT industry of our stock market, so it is the core chapter of this paper,and then,we will do some statistical tests on the results and draw some important conclusions;Chapter Six is the conclusion of this paper,the writer will point out some deficiencies in the examination of KMV model and our further research work in the future.The major contributions of this dissertation are that:First, As the stock yield in our country has an obvious Garch effect, so in the process of paraments estimating,we use Garch(1,1)model to estimate and inmitate the volatility of stock yield.Second,to get the risk of a specific industry,we use the ritio of ST companys and all companys in this field,then we decide the parament of the default piont based on this risk.Third, we choose another two default pionts around the fitting one,and examinate which one is the most effective in calculating the credit risk of companys. Fourth, we solve the nonlinear equations by means of 1STOPT soft,not matlab, avoiding the difficulty in setting the initial value.