Modification Of Default Point And Empirical Study Based On KMV Model

Credit derivatives first appeared in1992in the United States New York swap market, since its birth, due to the significant role in the enhancement of the liquidity of assets, the dispersion of credit risk, improve the rate of return on capital and so on, so that the credit derivatives market has been rapid development, as the management tools of credit risk of banks and other financial institutions to effectively at the same time, improve the quality of loan assets, however, proper supervision, led to the2008global financial crisis, its influence still lingers. Therefore in addition to put forward more stringent regulatory measures, but also in-depth study of its pricing theory, operation service in the credit derivatives market.The KMV model as the international financial community is the most popular one of the credit risk assessment model, is an important tool of system of credit derivatives pricing theory. According to the theory of KMV, the default rate is determined by the value of enterprise and the default point distance, the empirical formula of default point calculated by KMV is. This paper, taking Chinese listing Corporation as research object, through the mining of information in the financial statements, to analyze the debt structure of each company, bankruptcy law in order to solvency regulations and consider the debt to its repayment pressure from the angle of enterprises according to classification, obtained three kinds of claims data, and three categories of assets and liabilities rate as variables, the default value of enterprise and the total assets ratio as the dependent variable was fitted, eliminating the difference between company scale, to obtain suitable for China’s listing Corporation default general formula calculation, found by the variable coefficient correlation formula, coefficient of order of size and three kinds of liabilities for debt pressure, the order of the size of uniform. And through comparing the distance to default special processing listing Corporation and General Corporation, have significant difference, the formula of the default point to the final conclusion of effective measure.In this paper,the liabilities in the statements of listed companies to disclose data to consider the provisions of the laws and regulations of the legitimate rights and interests of creditors and the debtor’s obligations, mining report information reflects the corporate credit analysis of the liability structure of default rates of default. Data of listed companies in China, empirical research,come to the point of default formula is feasible and effective.