Study On The Application Of The Extended KMV Model In Credit Risk Management In Banks

As the most popular modern credit risk measurement models, KMV in our country has a wide application. Because there is a big gap between China's market environment, economic policy and western developed countries', if we directly use the KMV model which comes from abroad will bring large error, even greatly reduce the precision of the model.So it is necessary for us to adjust the parameters of KMV model, then to practice. Based on this, this article will adjust partial parameters of the KMV model such as risk-free rate, the equity market value, market value of equity volatility and the default point. By using the expectaion to calculate the risk-free rate, the non-tradable shares pricing by net assets per share and net assets per share for the negative the price recorded as 0, using conditional heteroskedasticity model to calculate the equity market volatility. Considering the effect of long-term debt maturity repayment pressure on the enterprise, this paper will increase a variable, the long term liabilities due within one year. Choosing those listing companies named *ST during 2010-2013 period as the research sample, after processing finally choice 148 stocks to modeling and analysis. The dependent variable is the current liabilities, regarding within one year of long-term debt and short-term debt as independent variables for regression analysis, so we can know within one year of long-term debt and short-term debt regression coefficient, then substitution traditional default point model, lastly we can get the new default point formula. Then the empirical part select 20 shares in the listing companies named ST or *ST in 2013 and other 20 shares should be relatively normal stock, and the total is 40 shares. In December 31, 2012 as the financial statements calculated using the base date of the listing companies in 2012 of the model from the macro and micro aspects of verification of the empirical results of experiments,it show that the KMV model can better predict the listing companies' credit risk, and provide a basis for the bank loan decision.