Research On Measurement Of China’s Real Estate Company’s Credit Risk Based On KMV Model

Credit risk is one of the many types of risks faced by commercial banks,and it is also one of the important reasons for the crisis of commercial banks and other financial institutions.Compared with foreign large commercial banks,China’s commercial banks still have a large gap in the measurement of credit risk.Therefore,improving the accuracy of China’s commercial bank credit risk measurement has become a hot topic of concern for China’s financial institutions.From the perspective of commercial banks,the paper takes the measurement of credit risk of China’s real estate companies in developing loans as the research object,and uses the modified KMV model to conduct empirical research.First of all,it elaborates the connotation and characteristics of China’s credit risk,defines the basic concept of credit risk of real estate development loan,and analyzes the formation and transmission mechanism of credit risk of real estate development loan.Secondly,the status quo of China’s real estate market is elaborated from four perspectives: development history of real estate market and policy changes,real estate investment analysis,real estate market development status,and the status quo of China’s real estate market development loans.In the empirical research section,the theoretical basis and calculation process of the KMV model are elaborated.From the period from January 1,2003 to December 31,2017,36 listed real estate companies marked *ST are selected as research samples.The parameters of the default point in the model were revised,and the ratio of medium-term and short-term liabilities at the default point was 0.81.Based on the revised KMV model,it measures the development loan credit risk of 12 representative listed real estate companies in China.Matlab 2016 b mathematical statistics software is used to calculate the default distance and expected default rate of the 12 listed real estate companies from 2007 to 2016.Perform descriptive analysis and reason analysis.The results show that the default distance of large-scale real estate development companies is generally larger than that of small and medium-sized real estate development companies.In the future,the possibility of credit default is less than that of small and medium-sized real estate development companies.The main reasons are national policies,corporate costs,speculation,commercial bank loan object preferences,and model parameter settings.Finally,the paper proposes the following four suggestions for commercial banks in the measurement of credit risk: actively promote the construction of commercial bank’s internal rating system,accelerate the application of KMV model in China,establish a perfect credit default database for the real estate industry,and construct a diversified commercial bank real estate financing channel.