The Research On Credit Risk Measurement In Corporate Bond Issuers Based On KMV Model

In recent years,China's capital market system has been improved,the development of fast,large capacity.In particular,since the bond market since 2010,the rapid development of credit debt market,domestic and foreign institutional investors to China's domestic debt to do a large class of asset allocation of choice.However,with the development of the market,the credit market issuer qualification also appeared in the credit qualification sink,the domestic rating agencies in order to expand their business,but also to give the issuer a higher rating,which credit issuer credit risk continues to accumulate.In this paper,the credit risk is measured by the public information of the market,the credit default model based on the equity information is established to identify the risk,the credit rating personnel 's subjectivity is insufficient to estimate the credit risk,to avoid the credit risk concentration,and to assist the various institutional investors Investment strategy,credit and so on.In this paper,the KMV model is used as the research focus,the empirical analysis method is used to select the appropriate measurement tool to measure the default risk of the bond issued by the open market and to design the model of quantitative analysis of the default risk of the bond.This paper mainly studies the defaults of corporate bond defaults and the main credit rating of listed companies from 2010 to 2016.In this paper,17 listed companies will be selected as the research sample,the sample is divided into three groups,through the analysis of the main body of listed companies to reduce the depth of analysis,to restore the risk exposure of the default process,based on the option pricing theory KMV model,the use of MATLAB,EXCEL To calculate the default distance in the process of continuous changes,the establishment of default time series.The conclusion shows that the default distance in the KMV model can effectively measure the main credit risk of the listed company 1 year later,and the default distance decreases at least 6 months to 12 months before the main rating is lowered,that is,the early warning of the main credit rating Down.