Research On The Validity Of KMV Model For Credit Risk Measurement Of Bills

With the support of the policy environment for SMEs,the bill industry that provides low-cost financing services for SMEs has experienced explosive growth and entered the era of barbaric growth.At the same time,however,the credit risk of SMEs is also rapidly gathering,and events that cannot be accepted due to credit defaults occur when the bills expire.Therefore,how to more accurately realize the identification and measurement of credit risk is a difficult problem that bill market participants need to face together.This paper compares several typical credit risk measurement methods by measuring the deficiency of A-ticket platform in enterprise credit risk.At the same time,based on the A-ticket platform,it breaks through the obstacles of information asymmetry of SMEs through innovative bill business model,and proposes A-ticket platform market.An effective tool for credit risk measurement is the KMV model(derived from the BSM option pricing model).At present,there are not many researches on the measurement of China’s bill credit risk by using KMV model.This paper analyzes the applicability of KMV model to China’s bill default risk measurement through the transaction sample on the A-ticket platform.This paper empirically analyzes multiple companies on the A-bucket trading platform through two different perspectives: horizontal stratification and vertical timing.Horizontal stratification is to select three sets of enterprise bills with different grades according to the enterprise credit rating,correct the KMV model from the calculation parameters,obtain the sample parameters,and then obtain the default distance value of the sample through the KMV model,and finally analyze the difference through statistical software.The significance level,if the difference between the three groups is significant,indicates that the default distance calculated by the KMV model has a higher sensitivity to different levels of bill default risk.In the longitudinal empirical analysis,the parameters of the model with high credit rating instability are calculated,and the default distance is obtained.Finally,the degree of consistency between the default distance and the credit rating change during the period is tested.Empirically,in the horizontal direction,the KMV model can effectively distinguish the credit risk of the notes with large credit rating difference;in the vertical direction,the KMV model can effectively display the credit risk changes of the notes and has a predictive effect.The paper concludes that the KMV model is applicable to the measurement of the credit risk of bills and is conducive to the conclusion of the stability and prosperity of China’s bill market.