The Research On Credit Risk Measurement Of Corporate Bond Issuers Based On KMV Methods

In recent years,the bond market had been growing in china, and the size and number of the bond issue are growing rapidly, especially the growth rate of corporate bonds is extraordinarily growing. Bond market inject vitality in China’s financial markets, but it also brings some risks to financial market; and the bond market’s main risk is the credit risk, which requires us to strengthen the identification and control of its credit risk. However, China’s credit risk management concepts and technologies are not advanced comparing with developed countries.Because the credit rating system is imperfect in china, the major credit rating did not play its role. KMV model is a structured credit risk measurement and prediction method which first proposed by KMV company, and it also through a lot of tests.KMV model has been highly affirmed in the international community and the business community.In order to make KMV model to fit the actual situation of China’s bond market, this paper needs to modified the model, and then choose two group corporate bond as a sample from manufacturing.A group’s credit rating is listed in the AAA,and the other group is listed in the A, and using KMV model formula and MATLAB software to calculate the average default distance between two samples,then this paper uses two methods to test the default distance.The empirical result indicates that the average default distance of the AAA credit rating group is larger than the A group.Which proves the KMV model can be used to measure the credit risk of Company bond in china.