The Domestic Present Status Of The Credit Debt And Application Research Of KMV Model

By the end of 2015, balance of Chinese bond market has reached 48 trillion, ranked third in the world. Balance of credit debt has reached 14.3 trillion, ranked second in the world. The bond market has become the second-largest financing channels of the real economy, in addition to bank loan. With slowdown of Chinese economy since 2014,Early large-scale investment has leaded to serious overcapacity in many industries. Incident frequency of credit risk of the bond market has quickened significantly. As Chinese debenture bond market is not yet mature, how to identify and manage credit risk becomes an imminent task.Basing on the theoretical basis of KMV model, a risk measurement model is reconstructed with parameters having been modificated to make the calculation of Chinese debenture bond better. In this paper, 36 samples of Chinese credit bonds are chosen, which are divided into three groups. Using related financial data of listed companies, model’s parameter was calculated by MATLAB. Then we calculate Default distance of each group, and the results are effectively analyzed. As the result is consistent with the reality and theoretical expectations, this paper argues that the KMV model has validity and feasibility to measure the credit risk of listed credit bonds.