| As China Thirteen Five program progresses, the ongoing financial reform process, the insurance business is developing rapidly, the financial sector has become a rising star. Insurance "ten countries," the insurance industry has increased the national policy support efforts; With the continuous expansion in investment-linked insurance, universal insurance and other investment scale insurance, the insurance company has brought a lot of accumulated capital, which also makes the insurance action companies investing in the capital market is growing; Ampang insurance in a-share market by Ampang Insurance, harmony and health insurance, and other products eight times the purchase of shares of Minsheng Bank, becoming the largest shareholder of Minsheng Bank and China Merchants Bank; rich with life Insurance a-share market investors hundreds of billions Golden Group became the largest shareholder and the second largest shareholder of Shanghai Pudong Development Bank, and also holds a large stake in Kaisa Group, Beijing cultural and other listed companies. The scale of investment in the capital market is growing, the risk faced by insurance companies will be more hungry and more, especially for investment insurance solvency increasingly demanding. From 15 in late June, the stock index continued to fall from a high of 5100 points fell 2800 points, down 45%, as of March 2016, as the capital market insurance company investment-linked insurance accounts the amount of revenue also suffered heavy, in June 2015, seven months, eight months of the reporting period, the average monthly yield of the entire investment-linked insurance accounts respectively -5.85%,-6.67%,-5.66%, far below the expected return on investment rate. This gives the insurance company's solvency raised new demands and challenges.Scale participation in the capital market-based risk capital is growing, the listed insurance companies have become increasingly demanding credit risk on the basis of this paper, by using the KMV model, measured from the bull and bear two different state capital markets down listed insurance company's credit risk profile, designed to identify credit risk under different market conditions.The first chapter is an introduction, is divided into three sections. The first section of the background and significance of this paper, proceed from the situation of China's current status of economic development and financial markets, the insurance industry reform, introduced the current situation of China's insurance companies to participate in the capital market. In view of the current generation compensation regulation, with respect to capital market risk regulation focused on this part of the market risk, the scope of supervision can only be limited equity capital requirements for price changes, are not able to react to changing market conditions for the company's overall the risk of credit default, so this paper KMV model to measure in different market conditions listed insurance company's credit risk profile, for regulators, insurance companies, the insured has a great significance.The second chapter is the theoretical part of the credit risk measurement. This chapter is divided into three sections, the first section describes the credit risk and credit risk measurement means, and the credit risk of the insurance company on the credit risk arising from the way for the analysis; second section focuses on the credit risk measurement methods and the development process from traditional credit risk measurement expert analysis,5C factor analysis, etc., to credit risk credit metrics model, credit risk Plus model, credit Portfolio View model and other measurement model, compared theoretical introduction and the advantages and disadvantages.The third chapter describes the theoretical part of KMV model, the chapter from the mathematical theory of duty KMV model introduces the theoretical source model, and then the basic assumptions of the model corresponding statement for the calculation formula and process of the model introduced. Finally, the relative advantages and disadvantages of other credit risk measurement models in a comprehensive comparative advantages, features KMV model considers more for more models, and for the environment and other elements of different industries, the applicability of the traditional KMV model is not strong the need to adjust the parameters of the shortcomings.The fourth chapter of the empirical part of this paper, divided into two major empirical content. The first is a demonstration of the A-share stock market CBBC city divided by BB turning point method, starting in 2008, since the time period is divided into four and four bearish bull; the second part is from the established empirical bear and cow listed insurance companies to measure credit risk under the city. The empirical results under different market conditions, credit risk of listed insurance companies in the case of the bull market is significantly smaller than a bear market, the same corporate credit risk in the Bull and Bear also satisfy the above conditions. Different companies the size of credit risk, there are significant differences in the same market environment, mainly related to fluctuations in the company's operating results and stock prices relevant.The fifth chapter is the conclusion and recommendations section of the policy. The conclusion of the empirical results of Chapter ? summarized. Through the above empirical results show that changes in the capital markets for credit risk listed insurance companies is obvious. In view of the above conclusion, this paper presents three suggestions. The first is to strengthen the use of listed companies measure KMV model credit risk, both to achieve dynamic regulation, but also a very good response in different capital market environment listed insurance company's credit risk profile. Second, third, respectively, from the financial market system and strengthen the construction of two angles default database is recommended to create a better environment for achieving KMV model. |
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