Research And Analysis Of Non-financial Debt Financing Instrument Based On KMV Model

In recent years,China's total economic growth has steadily increased,the level of science and technology has been increasing rapidly,and its status has become more and more prominent in the world.Many enterprises have responded to the country's "going out" strategy and increased their own strength.From the perspective of corporate strategic development,in order to meet the needs of improving competitiveness,financing is an essential part of the link.With the increasing scale of financing,the financial industry also presents a thriving situation.At the same time,in order to pave the way for the real economy to meet the financing needs,China has vigorously reformed the domestic financial market.Under the guidance of the national policy,The more flexible and convenient financial products.Among them,in recent years,the China Interbank Dealers Association issued by the registration of non-financial corporate debt financing instruments issued by the concern,the year 2016 issued more than 5 trillion.However,with the increase in the number of issuers and issuers,the credit risk in the bond market is gradually expanding,and the defaults occur frequently,which greatly damages the interests of investors and disrupts the market order.So to strengthen the bond market credit risk prevention and control capabilities,has become a top priority issue.At present,China's credit rating system is not complete,with the size of China's interbank market bond issuance increased year by year,the demand for credit risk identification of bonds has gone up.At the same time,China's theory and method research in risk control and measurement are lacking in some developed countries.Therefore,this paper will explore the risk assessment method suitable for the Chinese market,and use the KMV model to study and analyze the non-financial enterprise debt financing instruments.Considering that the KMV model is an exotic product from the United States,this paper improves the parameters of the KMV model according to the actual situation of China's bond market.First of all,this paper uses ARMA model,GARCH model to calculate the equity value volatility.Then this paper selects 70 listed companies with defaults from 2014 to 2016,intercepts their financial data,evaluates them by OLS,determines the formula of default point for China's bond market,and is the most suitable for China's bank The KMV Model of Bond Market.Finally,the KMV model is used to study the non-financial enterprise debt financing instruments issued by listed companies in China's inter-bank market.The average distance of default is obtained and the listed companies are distinguished.The results are in agreement with the traditional ratings.It is proved that the modified KMV model can A good assessment of the issuance of bonds listed companies credit risk,is conducive to improving the credit rating method,improve China's credit rating mechanism to prevent the occurrence of credit risk.The contents of this paper include the following seven parts:...