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Credit Risk Research of the Listed Company in China According to KMV Model

Author: ZuoXuWen
Tutor: SunTianZuo
School: Shandong University
Course: Finance
Keywords: Listed company Credit risk KMV model
CLC: F276.6
Type: Master's thesis
Year: 2010
Downloads: 329
Quote: 2
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Abstract


As one of the most important risks of finance market,the connotation of credit risk is growing with the finance innovation.Under the background that global credit inflates continuously, the credit risk exposes more and more and seriouely.,the traditional credit risk measurement methods have not been able to adapt the growing of finance market,so how to find a accurate method to distinguish and measure the credit risk has also become more important.Our country’s commercial bank is deeply depended on traditional loan business,so the credit risk is more serious. With the financial mechanism reform and financial opening step speeding up,domestic commercial bank’s risk management consciousness has been strengthened obviously.Therefore it needs to replace the credit risk management, establishing the credit risk management model that is suitable for China.This paper is based on the morden credit risk management theory,describes the traits of credit risk and how to distinguish and measure it,analyses some credit risk management modles,then selects a modle that is suitable our country’s capital market,uses KMV modle as research tool,chooses 60 listed companies as analyse sample,.According to the emperical research result,uses DD=1.600 as the dividing point to distinguish ST and non-ST companies. Based on Disdance to Default to built regression model.Through the research,wo can find that company scale,profit ability,debt paying ability and stability are the main factors that influence the company’s credit risk.Then based on the research result,put forward some suggestions to improve the credit risk management.This paper is divided into six chapters.Chapter 1 is Introdction,introduces the background and significance of the study,described the methods and thoughts of the research,as well as the innovation of the paper.Chapter 2 is Literature Review,summarized current situation of foreigner and internal scholars.Chapter 3 is The connotation of credit risk,described the difination and traits of credit risk,then analyse the credit risk of domestic listed company.Chapter 4 is Comparison of credit risk measure models and the analysis of applicability,described four kinds of models and analyse the applicability in China.Chapter 5 is The theory of KMV model, its calculation and empirical analysis,gave detailed exposition on the principle and calculation of KMV model,then choose 60 demestic listsd companies to do empirical analysis,calculated DD and EDF. According to the emperical research result,uses DD=1.600 as the dividing point to distinguish ST and non-ST companies.Based on Disdance to Default to built regression model.Chapter 6 is Suggestions in using KMV model in credit risk management.

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CLC: > Economic > Economic planning and management > Enterprise economy > A variety of enterprise and economic > Company
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