Credit Risk Assessment Of The First Batch Of Listed Companies On STAR Market Based On The KMV Model

The high failure rate of SMEs,opaque financial information,and severe distortion of financial data make it difficult to accurately measure their high credit risk.However,newly launched STAR Market with small and medium-sized science and technology innovation enterprises as the main service target in 2019 is expected to change this dilemma.because STAR Market has strictly regulated the disclosure of the issuer's financial information,which provides a true and reliable data source for its credit risk measurement.By performing more accurate credit risk measurement on the companies listed on STAR Market,it plays an important reference role for credit risk assessment of other small and medium-sized enterprises.In addition,STAR Market implements a registration system and strict delisting arrangements,which will inevitably bring more delisting events,which will be transmitted to the bond market and credit market through a complex and tight financial chain,resulting in large-scale debt Breach of contract affects the development of China's financial market.Therefore,it is of great practical significance to choose an appropriate credit risk measurement model to accurately assess the credit risk of listed companies on STAR Market.An important feature of the KMV model is to link the company's credit risk with its capital market performance and dynamically assess the company's credit risk.Therefore,the KMV model is very suitable for the measurement of listed company's credit risk.This article will use the KMV model to evaluate the credit risk of the first batch of listed companies on STAR Market.Before empirical research,this article will introduce the theoretical basis of the KMV model and the selection of various parameters of the model;during empirical research,this article will select 25 companies with the same scale of assets as the first batch of listed companies on STAR Market in the same industry As a comparative analysis object,the listed companies on the main board use the KMV model to measure the default distance of 50 sample companies from July 22,2019 to March 31,2020,and use the T test to determine whether there is a significant difference in the default distance.Verify that the model is validEmpirical research results show that the average default distance of the first batch of listed companies on STAR Market is significantly smaller than that of the corresponding main board companies,which means that the credit risk of the first batch of listed companies on STAR Market is significantly higher than that of the corresponding main board companies.However,it should be noted that the current volatility of STAR Market stock price may cause the default distance calculated by the KMV model to be too small,thereby overestimating their credit risk.The main innovation of this article is the credit risk assessment of the first batch of listed companies on STAR Market,the domestic scholars have not yet done enough research in this field.