The SMEs Credit Risk Research Of Listed Enterpirse Based On KMV Model

China’s economy has experienced rapid development since20thcentury, the SMEsgreatly improved the financing environment of small and medium sized companies.However, the sticking point of financing of many companies listed on SMEs isremaining. Because the business has risks, the demand and supply of funds can notachieve the optimal equilibrium. Therefore, to measure the credit risk accurately andimprove the matching degree between the demand and supply of funds can optimize thefinancing environment of companies listed on SMEs.Credit risk has always been the research topic in the field of finance, credit riskmeasurement methods are also improving gradually. However, the research on creditrisk field of our country is still in the primary stage, these metrics method have theproblems, such as the subjectivity is strong、the data is delay, are not conducive tomeasure the level of credit risk of the real business. The domestic scholars introducedthe KMV model to measure credit risk of enterprises in2000, but in the use of KMVmodel to measure the credit risk of companies listed on SMEs, there are somelimitations.Firstly, this paper introduced the present situation of financing of companies listedon SMEs, and made a brief summary on the research of KMV model at home andabroad, on this basis, this paper presented the research framework. Secondly, this paperintroduced the risk of companies listed on SMEs in detail, expounded the problems offinancing of companies listed on SMEs and its characteristics. Third, this paper madethe comparison of the moderm credit measurement model, concluded that the KMVmodel is the most suitable model to measure the credit risk of the listed corporation inChina currently. Fourthly, this paper modified the model, such as using the GARCH(1,1)to calculated the volatility of equity、making a discount to calculated the value of equityof non tradable shares and restricted shares、setting different default points to calculatedthe corporate default distance, then using mean-test and t-test to find out the criticalvalue of default of companies listed on SEMs. Fifthly, In the empirical part, this paperselects the sample firms data from2010to2012, including5st companies listed onSMEs and9st companies listed on main board in accordance with standard of the paper of st sample companies, then selected14non-st companies from SMEs according toindustry category of selected14st companies, used modified KMV model to calculatedthe default distance of sample companies, tested the significance of the difference ofdefault distance between st companies and non-st companies. Through empirical testing,concluded that using the modified KMV model to measure the credit risk of the samplecompanies is in point. Finally, this paper discussed the results of the study, pointed outthe limitations and the prospect of this study.