The Study Of Measuring Credit Risks Of Chinese Listed Companies Based On KMV Model

KMV model chose in my thesis originated from the research of option pricing models by Black,Scholes and Merton in1972. In1974, Merton discussed the idea that option pricing models was applied in risk loans and appraisement of securities, and developed a kind method of judging credit risks of companies that was very practical and effective, later on many scholars developed the idea based on Merton’s and they applied option pricing models to the field of measuring credit risks.KMV model was just one example.My writing thought will be as follows:Firstly, I introduced the background and significance of my theme, and list research contents and methods. According to related documents, I have elaborated internal and foreign literature reviews in stages and internal current situations according to a category, at the same time I pointed out the innovation and deficiencies in my thesis, the theories about methods measuring credit risks were introduced, including the definitions, characteristics and so on. Next China’s circumstances of credit rating were introduced.Secondly, I have introduced traditional method of measuring credit risks including the expert method, credit rating methods and credit scoring models, and modern models of measuring credit risks including Credit Metrics, Credit Risk+, Credit Portfolio View and KMV, their calculation procedure and advantages or disadvantages. On a solid basis, I compared four models and finally concluded that KMV model is the most suitable model that is applied in China.Thirdly, I explicitly elaborated the basis of the theory, assumed conditions, solving principles, calculation procedure, advantages and disadvantages. On the former basis, I chose sample companies, set parameters and had an empirical study, employed the software MATLAB to programme and calculate data, the software Eviews and SPSS to analyze results in order to test and verify whether KMV model is suitable for measuring credit risks of China listed companies. Because the empirical results were not marked, at last the thesis analysed the difficulty of applying KMV model to China market,propose suggestions and prospects and pointed out the follow-up research directions.The periods of samples of many theses which applied the empirical analysis of KMV model were years at which the sample companies had been seen ST, these theses concluded that the default distances of the ST team and the good team are different very much. I hold that such conclusions are not convincing. My theses used the data of the two or three years earlier than the standard year to test whether KMV model had the same idea with the Shanghai Securities Exchange and the Shenzhen Securities Exchange and whether KMV model was practical in China. When I chose sample stocks, I avoided the influence of individual sample, human factors and industry differences as far as possible. Because the listed companies that were seen as ST before the year2011had been researched, my theses selected the listed companies that were seen as ST in the year2011and correspondingly I chose blue chip stocks that matched the companies in the ST team.