Study On The Credit Risk Measurement In Listed Companies Based On The Option Pricing Model

Along with the advancement of the economic globalization, risk management has become the core of the company management, Credit risk is the most and the oldest risk in the financial markets. Credit risk is the probability that is the borrower for various reasons to failed to repay his debts or bank loans timely and sufficiently, Accurately measuring the size of the Credit risk is very important to minimize the loss or to maximize the profit. After several decades of development, It has formed various methods to measure the credit risk. KMV used properly option pricing theory to predict the probability of the default of the listed company based on the price of the company stock. Aiming at the lack of the credit agencies and the credit data, KMV model is very suitable for listed companies in the credit risk measurement. This paper selects 10 pairs of the ST company and the not ST company and Using the KMV model to measure their credit risk. KMV model can well recognize the credit risk of the listed companies. We measure the credit risk of the company which belong with the media industry.Through researching the factors that affect the default distance of the company, we found that the volatility of the company stock is the most significant factor. The equity volatility of the company fluctuate more sharper, the more probability of the default of the company, So it is very important to reaserch the equity volatility of the company. According to the uncertain volatility model, It is difficult to give the specific forms or the stochastic differential equations of the uncertain volatility, But we usually know the range of the uncertain volatility,It is in the range of [σmin,σmax].We consider the range[0.T],.σmin≤σ≤σmax. we calculate theσmin andσmax in historical volatility method, then we can calculate the default distance in the case of theσmin andσmax,then we have the interval of the default distance of the company. So we can give the warning signal to listed company to prevent the credit risk.