Research On Credit Risk Measurement Of Small And Medium Enterprises Corporate Bond In China Based On KMV Model

The problem of lack of management funds for SME(small and medium enterprises)has been plagued by our country.The main reason is lack of mortgage of property,production scale is small,low credit ratings.Financial community and academia have raised a variety of discussions and studies,in order to solve the financial difficulties problem of SME.One of the most prominent financial innovation is the SMEs collective bond.SMEs collective bond is made up of many small enterprises and issued in the name of the joint.Unified guarantees and rating by the third party.However,enterprises only obligation of its own debt principal and interest payments.SMEs collective bond overcomes the single individual can't separate the defects of issuance due to the small size.Moreover,it opens up a new channel using bonds to obtain funds.However,as SMEs collective bond appeared for the first time payment problems in 2012.People began to suspect that the security of SMEs collective bond.Therefore,how to reduce the credit risk in a proper way is a question need to be researched.Credit risk measurement is an important part of credit risk management.Through the measurement of credit risk can identify the enterprise as soon as possible and effectively control the credit risk.On the basis of reading a large number of the literature and the mechanism of formation of the credit risk,this paper will analyze SMEs collective bond from risk identification,risk measurement and risk control.Using the prisoner's dilemma game analyze risk contagion effects,the tripartite game and mixed game to analyze risk control theory.Through the comparative analysis of different credit risk measurement method,the paper select using more advanced modern credit risk measurement method �� the KMV model based on option pricing theory.There is less paper to select KMV model as the measure of the credit risk of SMEs collective bond,especially in the empirical research.This is important aspect need to pay attention to and solve in this paper.This article selected 50 SMEs which still issue the SMEs collective bond and divided them into high-risk and low-risk groups on the basis of credit rating.To collect related financial data,the parameter is calculated by the use of Excel,and MATLAB software.Finally,it is concluded that each sample of default distance and probability of default.Using SPSS software to calculate descriptive statistics and significance test.Results show that low risk group is significantly higher than high risk of default distance and the default probability significantly below high-risk groups.Consistent with the actual situation.Using the Pearson correlation coefficient to test the correlation of default distance and the assets and the equity volatility.Found that equity volatility is negatively related to the default distance assets are positively correlated with default distance.But the result is not significant.May be it is affected by data quality and quantity of the data.Finally is the sensitivity analysis of the KMV model.Results show that equity volatility and default point most sensitive distance to default.Based on the above research.Finally the paper put forward the proposal of the measure of credit risk of SMEs collective bond.Promote credit risk measurement level of our country's SMEs collective bond to better manage and guard against credit risk.