Studyon The Credit Risk Of Manufacturing Public Companies Based On The KMV Module

Credit is the basis and soul of the modern market economy. Currently, the credit risk management in our commercial banks is still lowly, through learning the foreign advanced credit risk management techniques and combined with China's national conditions, to establish our own credit risk measurement methods, is the best way to improve credit risk management level of our commercial banks. This paper mainly study on building an industry KMV module. Firstly, summarized domestic and international credit risk management research in the literature, then give out the frame work and roadmap of the paper; secondly mainly to introduce Credit Metrics module, Credit Risk module, Credit Portfolio View, and KMV module, and showed the predominance of KMV module, then analysis the actuality of credit risk in the manufacturing, displaying the importance of credit risk measure from the perspective of game theory; in the empirical analysis, we selected 100 public companies from the manufacturing industry as the study samples, in which 50 were ST treatment with high credit risk and others with low risk. Got their stock and finance data from year 2007 to year 2008 to establish the panel data to calculate the DD (Distance of Default), then use the SPSS to test the result and affected factors'regression analysis, and build manufacturing KMV module. The result showed that, the manufacturing KMV module based on assuming that change of the value of asset follow the lognormal, using the GARCH(1,1) to forecast the volatility of assets and the value of assets from financial report to estimate the change of the asset could significantly predict the credit risk of two sort of public companies in the market, and DPT has no significant effect on the DD. Solvency, profitability, growth capacity and size of the company has a significant affect to the DD. Then use the module to estimate the credit risk of manufacture public companies which located in WuXi, and find that these companies had low risk summary. At last, give some advice to improve the credit risk management, such as the commercial banks should found the database of corporate defaults and also the companies should enhance the credit risk management to achieve both good and fast development.