KMV Model Based On Chinese Listed Companies Empirical Study Of Credit Risk Assessment

With the outbreak of subprime mortgage crisis and European debt crisis, the credit risk faced by the world financial institutions has become more and more serious. The credit risk in the world’s financial system has become the focus that people pay attention. After more than20years’ development, China’s securities market not only has made great achievements, but also accumulated a lot of issues, credit risks of listed companies is one of the most important issues. Listed companies are the central of stock market, it is also an important component of national economy, the quality and the financial situation of the listed companies and the behavior norms of the listed companies directly affect the healthy and orderly development of China’s capital market and the interests of investors. The essence of modern market economy is credit economy, listed companies as an important component of the national economy, its credit risk issues should not be overlooked. So, how to accurately measure the credit risk of enterprises, which credit risk measurement method applied to the enterprises in China have become financial institutions, investors and government regulators focus, is also a major issue facing the field of academic research.This article combining theory and empirical test method, using176listed companies in China’s A-share market as research objects, using credit metrics model-KMV model for quantitative methods, using stock market data and data on the company’s quarterly financial report quarterly to measure credit risk analysis of listed company in China.After gaining the default distance by calculating the sample company, firstly, we used four kinds of non-parameter test method to examine the credit default distance of ST company and non-ST company. The test results showed that the resulting based on the KMV model to calculate ST company and non-ST company is significant differences. Application of KMV model calculations obtained credit default distance can distinguish the credit risk situation of the listed companies in our country.Then, we compared the changes of credit default distance of the industries between2009to2012. Research found that in the first quarter of2009to the first quarter of2010the default distance change of industry trend is line, starting from the second quarter of2010, the default distance change of industry trend is clearly different.Finally, the article said listed companies in transportation and warehousing and manufacturing industries default distance with the macro-economic indicators and financial indicators of default values for stepwise multiple linear regression analysis. Study finds that the violation of the listed company in transportation and warehousing industry significantly affected by factors such as changes in interest rates, and quick ratio.Default distance of listed manufacturing companies affected by factors such as changes in the GDP, interest rate movements, net operating cash flow of enterprises (growth rate), quick ratio changes, there are significant positive correlation. It can be seen that credit risk factors affect different industries have a great deal of difference.