An Empirical Research On Credit Risk Of Manufacturing Listed Companies Based On Corrected KMV Model

As the most rapidly growing developing countries in the world, China gives fullplay to the comparative advantage on labor and resources in the division of laborunder the pattern of world trade, gradually become a manufacturing power in theworld. However, our manufacturing has the characteristic of Export-oriented, lack ofcore competence, poor anti-risk capability, making the industry suffered in thefinancial crisis of2008. Correctly evaluate credit risk of manufacturing listedcompany helps to speed up the structure adjustment and upgrading of this industry. Asimportant correspondents of our country commercial bank, manufacturing listedcompanies’ credit standing directly influences the quality of credit assets ofcommercial banks, effective credit risk measurement of manufacturing alsocontributes to guard against the breeding and spread of credit risk.From the prospect of modern credit risk measurement model, combining with thecharacteristics of manufacturing listed companies and the environment in our country,this article determines to use KMV model as the most suitable measurement model ofour country’s manufacturing listed company credit risk, after comparing the fourmodern credit risk measurement models. Then this article does empirical research oncredit risk of manufacturing listed companies on the basis of KMV model, afteradjusting the two parameters of the KMV model: default point and asset growth rate.The empirical findings indicates that the adjusted KMV model is better than unrevisedmodel and can distinguish between credit risk of normal and default company. Finally,this article using the adjusted KMV model analysis the credit risk of12representativelarge manufacturing listed companies, it founds that the manufacturing listedcompanies in nearly three years have the trend of deterioration of credit conditions.This paper mainly has three aspects of innovation: first, with the research only onmanufacturing industry, the empirical analysis tries to explore suitable default pointfor China’s manufacturing listed companies. Second, after comparing three differentmeasures of asset growth rate, established the historical average growth rate as thebest fitting assets growth rate method. Third, selected12representative manufacturinglisted companies as the research objects, the empirical results show that creditsituation of manufacturing industry in our country is deteriorating.