Credit Risk Measurement Of The Listed Companies In China Based On KMV Model

Recently, credit risk has become one of the most important problems which the world's commercial banks as well as the whole entire financial industry faced. Nowadays, how to improve the credit risk quantification and management has become an urgent issue to our Chinese commercial banks.In this research,the KMV model has been chose as a subject. After learning from the results of previous studies, this research intent to make a systematic theoretical analysis and empirical research on our Chinese commercial banks.Firstly,a review of the history as well as the frontier of credit risk theory was made in this paper.After a comparison of the four famous credit risk evaluation model——the CreditRisk+ model,the Credit Metrics model,the Credit Portfolio View model and the KMV model,we came to the conclusion that the KMV model is the most suitable one when evaluating the credit risk of listed companies under the special condition in China.Then upon that this paper made a detailed description of the basic theory and derivation of the KMV model,what's more some corrections were made,for example the DPT has been corrected to the sum of short-term liabilities and long-term liabilities, to make sure KMV much more suitable in China's capital market.Additionally two separate empirical test were made and both of them proved the corrected model is just quite suitable for us China market. As a ending,several suggestions were given looking forward to make some active sense in China's futrue credit risk management.