Credit Risk Measurement Of China’s Listed Companies Based On KMV Model And Third-party Credit Ratings

In the past 30 years, China’s reforming and opening up had improved the securities market a lot and made it becoming a considerable scale. The increasing number of companies listed on public offering of shares began to raise funds in order to seek greater development. However, with the increasing number of listed companies, the market has also accumulated an increasing credit risks. In such circumstances, once the outbreak of the credit crisis, will enable investors to suffer huge losses, and even have a terrible chain reaction. This is in 2008 since the financial crisis sweeping the globe has been fully revealed. Therefore, how to accurately measure the credit risk of listed companies, and to determine the level of its credit to investors has important practical significance.In developed countries, a variety of enterprises, especially listed companies for a variety of public credit rating is a class of financial markets, an important indicator for reference. The credit rating through simple symbols and indicators to show that being evaluated various types of companies or their securities issued by the credit performance, and thus reveal the credit risk, so that investors will quickly get a simple and objective credit information in order to provide a reference for decision-making and controlling credit risk. But in our country, the majority of the institutions engaged in credit rating or companies to disclose their credit rating is not entirely a result, most of its rating methods as trade secrets, enabling investors to no means to obtain this effective credit risk management tools. However, if the results of these credit rating is assumed to be experts on all types of enterprises operating conditions, the level of credit rating results, then, in theory, this outcome could have broad applicability in a credit risk measurement model to simulate. As a result, the operability for the credit rating gets a good method now.Considering that most of the credit rating of the rating methodology used depends on the company’s statements provide a range of financial indicators and financial data, and these indicators and data reflect the company’s history, it is difficult to reflect the company’s future prospects and potential risks, and also difficult to judge the authenticity of the data report. Therefore, this article on the past, various types of credit risk measurement model to compare, choose the KMV model as a specific means of simulation results. KMV model is based on stock market data, measurement model, which the company less dependent on financial data, which can overcome the deficiencies of traditional methods of credit rating, and based on stock market data on credit risk measurement dynamic and forward-looking.According to KMV model is based on the characteristics of the stock market data, the author has resorted to the year 2009, Xinhua Far East companies against China’s domestic A-share market listed companies, public credit ratings and KMV models of credit risk measurement approach combining research methods, and provide the basis credit rating methodology, the results of the ratings of Default missing some of the samples had to develop and eventually get the various rating levels corresponding to the Distance to Default, that is, the use of credit rating KMV model to simulate the results of the fitting results obtained, and full circulation samples and samples which are not in full circulation, respectively, analyzed the situation. In the subsequent Distance to Default from the levels shown in tests carried out, KMV model and the traditional third-party credit ratings derived from a combination of Default samples from the class interval for the applicability of China’s securities market is relatively accurate, especially for a sample full circulation the accuracy is higher. Using this paper’s working results, investors can get credit rating of listed companies to determine the approximate, the judge in the equity of these companies or debt investment, there is a certain reference value.