Empirical Research On Credit Risk KMV Model

The financial crisis which happened in 2008 has a huge impact on global economy and let people from all walks of life realize the importance of financial risk management, especially in financial system. It accelerates the build of overall risk management system and the development of effective risk management technologies. Credit risk is one of the four basic risks the financial system faces. Because of the asymmetry, destructiveness, difficulty of control and contagion of the occurrence and impact, credit risk is the difficulty and emphasis of the financial risk management. The key line to manage the credit risk is to measure the credit risk. And the accurate credit risk measurement is based on a series of effective risk measurement model.First and foremost, this dissertation uses the evolution of the credit risk management method as the line and introduces all kinds of credit risk management method briefly. Secondly, this research describes the credit risk measurement model—KMV model in detail from the source of theory, the basic components and the scheme of common-used parameter setting. Last but not least, based on the domestic stock market, 16 pairs of well-matched default and non-default listed companies are selected as the study samples. The dissertation tests and analyzes the effectiveness of the credit risk which is measured by the KMV model before and after improvement and contrastively analyzes the improved result of the model. The result shows that the original KMV model which measures the credit risk of mainland listed company has certain limitation. For the single improvement of the original modeling parameters, the result is not so good. Besides, as for the improvement of the KMV model, it's important to consider the effect of all kinds of restrictive factors.