Study On The Measurement Of Credit Risk Of Listed Company Base On KMV Model

With the development of economy, credit risk measurement becomes more and moreimportant for a country. Credit risk measurement methods mainly include classic credit riskmeasurement methods and the modern credit risk measurement methods. Our country mainlyuses traditional methods, seldom use modern methods. So it is important to find a suitablemodern credit risk measurement method.First, this paper introduce some kinds of modern credit risk measurement methods,Conclusion relatively KMV model has good applicability in China. Then base on our countrysituation to modify the KMV model. In our country, the shares in the listed companies havetradable shares and non-tradable shares. This article fix the equity value of listed company,Select the net assets per share as the value of the non-tradable shares. Also due to theeconomic environment is different from all countries,And different industries,Corporatedefault point there is a difference.In order to find out the chemical industry credit defaultpoint in our country. This article selects the different credit default point as the contrastgroup in this paper. Also in this paper, using the ST and the ST enterprises on credit risk hasthe difference.Set the ST and the ST enterprises as the reference to contrast group to reviseKMV model. In order to explain the KMV model is on our country’s credit risk measurementis feasible.Through modify equity value and the default point of KMV model, it find that, KMVmodel has well applicable to our country’s chemical industry listed companies, selectcompany’s short-term liabilities and long-term liabilities as Default point. Chemical industrylisted companies’ default point is greater than abroad country, it due to our country regardShell resource too valuable. At the end of the paper, set up a credit rating for the chemicalindustry’s default distance mapping table. Provide a basis for other credit risk measurementmethod.