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Evaluation on Industries Credit Based on KMV Model

Author: LuYin
Tutor: LiXueWei
School: Beijing Jiaotong University
Course: Information management
Keywords: Credit Risk KMV model Distance to Default Industry differences Evaluation and analysis
CLC: F203
Type: Master's thesis
Year: 2010
Downloads: 178
Quote: 1
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Abstract


Credit is the basic characteristics and needs of the market economy, credit risk and market economy, such as Shadows. The outbreak of the international financial crisis, but also to demonstrate a high degree of correlation of the various types of credit risk in the context of global economic integration, systematic and enormous damage, strengthen credit risk control has become the eternal theme of today's world. With the deepening of financial innovation, the emergence and rapid development of the financial credit derivatives, can reflect and predict the credit situation and a mathematical model based on credit risk measurement methods more and more attention. First, the elaborate theory of credit risk and credit risk metrics based on the principle of focusing on the KMV model, content, and methods to measure credit risk were introduced in detail; Second, we KMV credit risk measurement models industry differences empirical research, to the listed companies in China as the research object, the first departure from the reality of the market environment, ignore the problem of the existence of the industry differences start from the KMV model forecast market conditions in China, through four industry An Empirical Study of the 24 listed companies obtained KMV model application in different industries calculate the result of the presence of significant differences conclusion. Next financial indicators through the screening as a variable to build a regression model, regression analysis of influencing factors that lead to industry differences, and the empirical results are summarized and the combination of objective factors to give a reasonable explanation. Finally, the current industry characteristics, risk characteristics and macro-policy environment, given the industry's investment value analysis and policy recommendations. Distance to default industry differences in empirical results show that different sectors of its distance to default there is a significant difference, and this difference can be reflected in the specific financial indicators, but the same financial indicators on different industries affect the size of the distance to default different. Therefore, in order to reduce the deviation of the differences in this industry to bring credit rating, distance to default with a number of financial indicators that can reflect the characteristics of the industry can be combined to consider some indicators of different weights, in order to achieve optimal forecast effect. Through this research, it is desirable to have a more in-depth understanding of the KMV model predictive capability, range of applications and industry differences and provide some decision-making reference for investors, financial institutions and government regulatory authorities.

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CLC: > Economic > Economic planning and management > Management of National Economy > Production industry management
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