Research On Credit Risk Measurement Of China's Listed Companies Based On KMV Model

In recent years,a series of New Deal in the country and good policy,under the constant stimulation of the bond market in our country a change before cold and cheerless situation coruscate gives new vitality.In economy,however,to speed up to capacity,under the background of deleveraging,frequent occurrences of bond market credit from privately raised company bonds to Public Offering Bond,from default interest to the principal of default,and even some spread to state-owned enterprises,private enterprises in far wide,exceed market expectations.Besides from market risk caused by market factors,involving credit risk deserves more attention.And how to corporate bond credit risk measurement of our country and further management has become an urgent subject.It is not just about China's corporate bond market can healthy development,more related to the stability of the financial market and national economy in our country.Under the current status of development of the corporate bonds in our country is increasingly,more and more people begin to pay close attention to debt risk involved in the credit risk of corporate bonds.Part of the domestic scholars draw lessons from foreign credit risk theory and econometric model to study the credit risk of corporate bonds in our country,trying to find the most suitable model and measurement method of the situation of our country.But compared with foreign advanced economies,China's bond market development cycle,the credit risk in the market results in the case of breach of contract and relevant data is scarce,but take a lot of foreign models have higher request for data,the lack of data made the model in measuring the bond credit risk in our country.Copy foreign credit risk measurement,therefore,the forming theory and model can produce errors,we should according to the part of the actual situation of the country's bond market changes,to better measure the credit risk of our country's bond market.Specific research paths for,first of all,analyses the credit risk of corporate bonds in our country,including the basic characteristics of corporate bonds and the cause of credit risk.Then the current widespread use of credit risk measurement method,comparison and analysis,comparison between the advantages and disadvantages and applicable condition.Based on related theory of carding and comparing,think KMV company KMV model is created for the listed companies in our country bond market is more applicable and feasible measures.The KMV theory is not suitable for our country listed company bond part of amended,including parameter and measure,make the revised theory conforms to our country's bond market.In this premise,based on the theory of KMV model and bond credit risk measurement model of listed companies in China to build.The empirical part of this paper on the basis of domestic credit rating agencies are given in turn to select samples of 30 listed companies' only bonds,rating,in turn,can be divided into low risk group,the general risk group and high risk group.Collected samples of the company a lot of financial data,extract the corresponding stock market related parameters,by use of Excel to calculation of parameter data,at last,by MATLAB software from the system of equations to solve the default distance DD groups of samples.Results show that the greater the distance to default,corresponding the higher ratings of corporate bonds,corporate bonds,the smaller of the possibility of default;Default distance is smaller,the lower the company's bond rating,the higher the risk of corporate bond defaults,the reality is consistent with the theoretical expectations.But at the same time,some results appear in the data with the expected appeared deviation,and for the corresponding interpretation of the deviation.That default distance can be used as a measure of the bond credit risk of listed companies.The KMV model to measure credit risk measurement is bonds of listed companies in our country has the effectiveness and feasibility of the bonds of listed companies can be forecast and warning effect.