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

Since its appearance, credit risk has always bothered the principle parties of economic activities. With the development of financial liberalization and economic globalization since1970s, various types of risks in the financial markets began to appear dramatically. Financial crisis outbreaks frequently since1990s, as a result, many countries suffer huge losses and much attention has been paid to the credit risk management. China is in a period of economic restructuring, social credit system is not yet fully established, speculative behaviors in the stock market and irregular operations of listed companies have occurred occasionally. The credit issue of China’s listed companies has become a serious impediment to the further development of China’s capital market. Therefore, how to take more effective measures to control credit risk is a significant challenge which financial markets and financial institutions have to continuously meet.In this thesis, we measure the credit risk of listed companies in Gansu Province on the basis of the KMV model through theoretical introduction and empirical research. First, the concepts of credit risk, theoretical foundations of credit risk measurement, the evolution of credit risk measurement methods of listed companies, and the comparison and selection of credit risk measurement methods are introduced in the theoretical part. Then we construct and modify the KMV credit risk measurement model used in this paper. Finally, we selected23listed companies in Gansu Province and measured their credit risk by adopting the data from stock market in December,2012and the data from the third-quarter reports. We adopt the KMV model to calculate the distance to default and the expected probability of default of these listed companies, and compare them with credit rating and asset-liability ratio. The results show that the credit risk of listed companies in Gansu Province is low and these companies are in good credit standing. The KMV model based on the information from stock market can accurately measure and reflect the credit risk changes of listed companies; hence, it owns strong applicability in China.