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KMV model in the application of credit risk evaluation of listed companies in China

Author: PanLi
Tutor: BaoWenBin
School: Nanjing University of Technology and Engineering
Course: Finance
Keywords: KMV model Option Pricing Formula Listed companies Credit rating
CLC: F276.6;F224
Type: Master's thesis
Year: 2007
Downloads: 607
Quote: 8
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Abstract


Credit Risk Measurement of China's banking industry is basically still in the initial stage of the credit rating , mostly based on qualitative analysis , the lack of a quantitative analysis of the credit risk . Qualitative analysis of the credit risk is too subjective , and may cause the actual results and corporate enterprise credit evaluation exists a great deviation strengthen credit risk management has been the focus of China 's financial sector and its regulatory agencies . This paper first discusses the applicability of the four foreign modern credit risk measurement models in our use of the current international financial institutions widely the KMV credit rating model , the specific characteristics of our country , the credit risk of listed companies in China metrics. The main purpose of this study by the analysis and comparison of modern credit risk measurement models , trying to figure out for the actual credit risk model , in order to improve the competitiveness of China's banking industry .

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CLC: > Economic > Economic planning and management > Economic calculation, economic and mathematical methods > Economic and mathematical methods
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