Credit Risk Analysis Of Listed Companies Based On Improved KMV Model

There are many risks in the operation and management of financial institutions,such as credit risk,operation risk,liquidity risk and so on.Credit risk is one of the most important and most concerned risks in financial market.With the increasing frequency of credit transactions,the problem of credit risk is becoming more and more prominent,and credit events occur frequently.In order to prevent credit risk,it is necessary to study credit risk.Based on Black-Scholes option pricing theory,KMV model calculates the asset value and asset value volatility by using the stock market data and financial data of listed companies,and then calculates the default distance of the company,and then predicts the default probability of the company with the EDF model fitted according to the financial market data.However,the volatility in the KMV model is replaced by the variance of stock price return rate,which cannot solve the heteroscedasticity problem of time series and does not conform to the actual law of financial market.Therefore,GARCH(1,1)model is used in this paper to modify stock price volatility parameters.Secondly,the default point parameter is based on the American financial market credit risk data fitting,directly applied to our financial market has some deviation.In addition,the COVID-19 pandemic has greatly impacted our financial market,and the default characteristics of financial institutions have changed.Therefore,it is necessary to redetermine the parameters of the KMV model suitable for our country.In this paper,the rationality of using GARCH(1,1)model to modify stock price volatility parameters is verified by the test of volatility aggregation effect,ADF test and ARCH-LM test.Then,100 groups of ST/*ST companies and non-ST companies of the same size were selected as the default group and the control group,and the KMV model with different default point parameters was empirically studied from the perspectives of descriptive statistics,paired sample t test and ROC curve analysis.The effectiveness of the KMV model in identifying the credit status of listed companies after the novel coronavirus outbreak is verified,and the KMV model parameters which are most suitable for the current financial environment are found among the five groups of parameters.