The Study Of Credit Risk Measurement Of Chinese State-Owned Enterprises Based On KMV Model

After "ChaoRi Bond" which is the first defaulted public-offering bond defaulted in 2014,the zero-default record for China's domestic bond market has been broken,and the credit risk of China's enterprises has captured much attention.In 2015,"11 TianWei MTN2" announced to be in default,resulted in the first state-owned enterprise bond that defaulted in recent history and broke its rigid payment rule at the same time,and later on several other state-owned enterprises followed to default in their company bonds.As a special kind,state-owned enterprises had been thought to have national credit endorsement,and their bond had been thought to have rigid payment.However,with China's economic growth slowing down,its economy faced a transformation development period,and a part of state-owned enterprises showed their financial distress and debt crisis.On the other hand,China has sped up its pace of marketization of domestic financial market.The authority is trying to allow some default crisis to happen if they bring no systematic risk.So,state-owned enterprise bond' s default is no accident,and their credit risk has been a popular topic.This paper conducts the empirical analysis for the listed state-owned enterprise sample with the popular and wide-used KMV model,calculates their default distance and theoretic default probability,and compares the credit risk among different industries.For non-listed companies,this paper uses the PFM model which is developed based on the KMV model to evaluate their credit risk,and also,the default distance and theoretic default probability are calculated.This paper finds that non-listed companies show greater credit risk than listed companies,and strong cyclical industries show greater credit risk than others,they are more sensitive to the general economic environment,when the economy is in a downturn,they earn less,with their debt standing high,resulting in potential risk exposure,in extreme scenarios,they default.Then,it discusses the impact of state-owned enterprises' default on bonds.