An Empirical Analysis Of The Credit Risk Measurement Of GEM Companies Based On The KMV Model

On October 30,2009,after a long period of exploration and research,China's GEM announced its establishment,which has made many small and medium-sized enterprises unable to list in the main board market to seek financing opportunities,to help a large number of small and medium-sized enterprises develop a healthy road,which also marks a significant step in the construction of multilevel capital market.However,these small and medium-sized enterprises listed on the GEM,because they all have small assets,simple financial structure and weak anti-risk ability,so they can not only obtain some substantial financing effect in the initial stage,but also face financing difficulties in the other time.in order to know the credit risk level of the GEM market,we need to measure the credit risk of the GEM market.In this paper,20 ST companies are selected and the KMV model is used to describe the trend of their credit risk.the results show that KMV model has better applicability in China,and then the 20 normal listed companies with similar scale are selected as the non-credit default sample group,and the original default point parameters of KMV model are adjusted by the end of 2016,and the modified KMV model can better identify the credit risk level.Then through the revised KMV model to measure the GEM market credit default risk,calculate the distance of default distance between 2012 and 2016,and analyze its change trend,using default distance to measure the credit risk,if the greater the distance,the lower the credit risk the company faces,the higher the credit level.Through the analysis and calculation,it is found that the GEM from 2012 to 2016 total default distance has a shrink trend,it also means that the GEM credit risk level is gradually expanding,through the reason analysis found that the increase of the debt level and stock market volatility are the main reasons for the increase of the GEM credit risk,which is consistent with the actual situation,indicating that the revised KMV model for GEM listed companies credit risk identification is more effective.