GEM Credit Risk Assessment Based On KMV Model

With the heated discussion of GEM’s delisting, a question about credit risk assessment hidden behind GEM is reintroduced. It has become a hot topic that how to forecast the credit risk of the GEM, so that the interests of investors can be free from serious losses.This paper firstly compare Credit Metrics model, KMV model, Credit Risk+model and Credit Portfolio View model,these famous Credit Risk assessment methods, based on this analysis, KMV model which puts more adapted to the our country GEM companies Credit Risk assessment.Therefore this paper selects two years of stock market prices (2010and2011) of the first four batches of the50listed companies as the sample data. Based on the perspective of bank, combine KMV model with the programming and calculation by MATLAB, distance to default (DD) can be calculated. According to the results, the distance to default DD is increasing every year; the conclusions show that in shortly two-year listing period, the credit risk of companies listed on GEM has shown a significant downward trend.This paper’s significance lies in, in view of China’s Growth Enterprise Market realistic problem, firstly used KMV model which puts the credit risk of the GEM of the assessment, and comparative analysis in two years of companies listed on the default on the basis of distance DD, specific analysis and the trend of the GEM credit risk and the reasons, provide the reference for investors and regulators.