| Under the background that global credit inflates continuously, the credit risk exposes more and more and seriously, the credit risk has become one of the important risks which financial system in all countries have to face. How to get an accurate estimation of credit risk has also become the focus that the financial institutions, investors, government regulatory department pay close attention to. It becomes an important topic of our country's financial industry to establish the credit risk models which will suitable for us by referencing and studying the advanced credit risk measurement methods from other countries.The traditional credit risk measurement methods have not only been able to adapt the new situation and the new question which arises in today's society, but also cannot even satisfy what is needed in the scientific quantification measure and the effective management of the credit risk. The banking industry in the western developed country has already adopted the great advanced internal credit risk measure model which use all information what can be obtained to valuate the enterprise credit condition. Compared with the credit risk management level of the western commercial bank, there still is a great gap between domestic bank and west commercial bank, especially in risk quantification aspect disparity. As far as our country's commercial bank is concerned, the bank internal rating is still in initial stage, internal rating system which the commercial bank develops mainly uses customer selection and risk warning, not yet use credit risk quantification management. Therefore, with the financial mechanism reform and financial opening step speeding up, commercial bank's risk management consciousness obviously has been strengthened, the banking industry have progressively realized the importance of the marketability operation, prudent operation and risk management on banking industry. We need to reevaluate the credit risk measure and the management method, establishing the new measure model that is suitable our country's credit risk management level. This paper takes the KMV model which in the modern credit risk calculate model as the tool, and takes the listed company as the research object, the thesis adopt the method of combining the theories analysis with the empirical research. The main contents focuses on two aspects: The first, analyzing KMV default model how to use to measure the credit risk of the listed companies in today's China; The second, make use of the finance index of the listed company, build up multiple regression model, analysis the influence factor of the distance to default, also attain the further analytical of the listed company's credit risk.The paper is divided into five parts: Chapter 1 introduces the paper's writing background, purpose, domestic and international present research and article arrangement generally. Chapter 2 described the core thought and frame principle of the KMV model in detail. Chapter 3 uses the theories of chapter 2, uses 45 listed companies in 2006 as study sample, and makes use of the listed company finance and the market information to carry on an empirical research. The research express that the KMV default model according to the option price theories in present stage can be applied to the credit risk measurement of the listed company in China directly, but it still needs the further correction and theories research. Chapter 4 uses the data and finance index choosing of chapter 3, build up multiple regression model, analysis the influence factor of the distance to default, through the research of finance index and the distance to default, we can instruct investor and supervisor how to identify and guard against credit risk of company correctly. The research discovers that company scale, repay debt the ability and profit ability are the main factors that influence the company credit risk. The last one chapter carried on summary to the full text, and put forward the applied suggestion of the KMV model. Because of the shortage of the listed company default data in China, we can't set up the reflect relationship between the expected default frequency and distance to default. The empirical research of this paper gaining to the expected default frequency is default frequency theoretically, although we can't depict the true default frequency of the listed company realistically, it can be used for comparing the default frequency of the listed company in same type. With the perfection of the KMV model and the capital market continuously, non-tradable share reform has been solved completely, the listed company default database is enriched continuously, finally it will widely used for credit risk measurement and management validly of the listed company . |
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