Reserch On Credit Risk Assessment Of Listed Companies Based On EGARCH-KMV Model

Credit risk has always been one of the most important financial risks in the capital market.With the increasing number of crises in the stock market in recent years,the credit risk of Listed Companies in China has become increasingly prominent and has received more and more attention.Through the research on the current mainstream credit risk assessment methods in the world,this paper summarizes the appropriate model method and management system to control the credit risk of Listed Companies in China,which is not only conducive to improving the domestic level of credit risk management,but also has great theoretical and practical significance for the sustained,healthy and stable development of domestic financial markets.Firstly,this paper summarizes the relevant theoretical research results at home and abroad,compares the advantages and disadvantages of several popular credit risk assessment methods in the world,and analyses the applicability of KMV model to measure the credit risk of Listed Companies in China.Then,it introduces the basic theory and thought of KMV model,improves the default point according to the actual situation of our country,puts forward 12 default points and makes a comparative analysis of them,and chooses the default point expression suitable for our financial market.At the same time,in view of the drawbacks of using historical method to calculate the volatility of equity value in traditional KMV model and its inappropriateness in China's financial market,a more accurate EGARCH-KMV model is proposed to estimate the parameters and measure the credit risk of listed companies.In the aspect of sample selection,40 companies in the experimental group(ST company)and 40 companies in the control group(non-ST listed company)were selected to calculate the default distance and the EDF of the two groups of sample companies.The relevant data of sample enterprises were brought into the model and the empirical results were compared and analyzed.The results showed that the EGARCH-KMV model could better distinguish the two groups of samples: the experimental group and the control group.The default distance of the sample companies of the experimental group(ST enterprises)is significantly smaller than that of the control group(non-ST enterprises),and the empirical results show that the model has more significant effect when taking long-term and short-term liabilities at the default point.Therefore,the EGARCH-KMV model has a good role in the measurement of default risk of Listed Companies in China and can be applied to the specific national conditions of China.In addition,by comparing the empirical results of the sample companies with the traditional KMV model and testing the model results,it is concluded that the EGARCHKMV model is better than the traditional KMV model in identifying the credit risk of listed companies.