KMV Credit Risk Measurement Models Based On Market Housing Prices In Shanghai

Credit risk management is an important part of modern risk management, the real estate industry credit risk management is an important part of credit risk management. At present, the real estate industry credit risk management level is low, there is no unified real estate development enterprise credit rating indicator system and model.Based on this situation, this paper chooses KMV model to measure the credit risk of real estate industry.The KMV model is a credit risk measurement model based on securities market related data,the required data is easy to obtain, and is more suitable for the evaluation of the listing Corporation’s credit risk situation.In this paper, we first introduce the credit risk and credit risk measurement models,Simply introduce and compare four common models of KMV, Risk+ Credit, Metrics Credit and CPV model,and explain the advantages of using KMV model;Secondly introduces the KMV credit risk measurement model construction principle and selects eight Shanghai normal operating performance company in the listed real estate and eight companies which operating performance is not normal in the listed real estate as empirical samples,through the MATLAB software programming, the value of the assets and the assets value of the assets are calculated to obtain the default distance DD and the default probability EDF,then we paired with T test of the empirical results.The results showed that there were significant differences in the default distance between normal and abnormal group DD,the KMV model has some applicability in the measurement of the credit default risk of the listed enterprises in Shanghai.