A Design On Credit Risk Measurement Of The Internal Company In Enterprise Groups Based Oil KMV Model

Credit risk is the most important risk of banking and the whole financial industry,directly on the economic life of varying degrees of impact, even affects the country’smacroeconomic policy-making and economic development, therefore, to strengthenthe credit risk management and measurement is very important. Most Chinesescholars on listed company credit risk measurement, and the internal credit riskmeasurement is rarelyAt present,there are many businessmen in enterprise groups have been aware ofthe parent-subsidiary company credit risk,and also put forward their point of view.Butthey are almost based on strengthen the financial security syetem-credit system,andwant to ensure the safety of funds with system,the system is contrived to developinevitable existence loopholes.Our country’s enterprise groups is lack of talents whocan master the use of modern advanced credit risk management techniques andmethods, and lack of decision-making basis to credit, also lack of the model whichcan control over credit risk efficiently and the indicators which can measure creditrisk well.centralized management of funds of large enterprise groups has many benefits andadvantages to the development of enterprise groups,such as achieving the transfer offunds,reducing the amount of funds occupied,increasing the using efficiency of thefunds,and so on.Enterprise group is a subsidiary of the shareholders and creditors,management center according to the subsidiary account of the situation whether givensubsidiary loan, therefore, between subsidiary of industry group parent producedsimilar between bank and borrower credit risk, bank credit default risk is passed on tothe Enterprise Group subsidiary company fund, if used improperly, expectedeconomic benefits cannot be reached, inevitable influence subsidiary loan repayment,serious when not only the subsidiary to fall into the financial crisis, and will cause thefinancial crisis, eventually even lead to enterprise bankruptcy.From our current country belongs to the economic situation analysis, listedcompany as a minority, most enterprises are unlisted company. As a result of thegroup organization structure, group company, between parent company andsubsidiary company exists the credit risk. But to group company, parent subsidiarylisted understood, thus enterprise credit risk, is difficult to measure.In this paper, using the option pricing model of enterprise group under the KMV listed subsidiary of credit risk and empirical tests, for the parent company tosubsidiary company whether the loan providing judgment basis, for non-listedcompanies available variables on KMV model, so that it can be applied to the unlistedsubsidiary credit risk measurement, hope this research for Enterprise Groupsubsidiary credit risk measurement bring some practical help.The article applies economics, finance, statistics and other relevant theory, to ourcountry enterprise group internal credit risk measurement. Theoretical model andempirical test combination, and the use of EXCEL, MATLAB and other software,applied KMV model to enterprise group within the listed subsidiary credit riskempirical test, derived theory can be applied to non-listed subsidiary of the EnterpriseGroup Credit Risk Measurement correction model.The main conclusion of the paper：One,The paper proceeded a more in-depth study on the financial risk andfinancing risk of the enterprise groups, and drew a conclusion that there is creditdefault risk which exists in the parent-subsidiary company of the enterprise groups,and provided a theoretical support for guarding against financial risks of the enterprisegroups.Two,at present,our country can not establish the mapping function relationsbetween the distance of default and the probability of default,but by the empiricalanalysis, the default distance value still will provide the decision-makers of enterprisegroups an imorotant reference to make credit decisions.Three,KMV model using the stock data as the primary data, the subsidiarycompany of credit risk measurement, is forward-looking, stock price fluctuation ofreal time, can it will help enterprise groups’ policy-makers make the right decisions.Four, Artificial neural network is introduced to solve the KMV model forenterprise internal unlisted subsidiary credit risk measurement, not on assets and assetvolatility estimation problem, built up on the unlisted subsidiary of industry groupinterior credit risk KMV model.