Research On Credit Risk Of Small And Medium Sized Enterprises Based On Modified KMV Model

As an important part of the national economy, SMEs play an irreplaceable importantrole in the national economic and social development. However, compared with largeenterprises, SMEs have small scale, weak strength and inferior position in the marketcompetition, enterprises want to develop and grow, they need to solve the problem ofshortage of funds. Bank lending has become an important way of financing for small andmedium-sized enterprises, but the small and medium-sized enterprise own existence financialsystem, their accumulation capacity is weak, weak anti risk ability, corporate structure is notperfect, causes of asymmetric information and the banks implement policies for SMEs creditcrunch. It has important practical value for banks and other financial institutions to improvethe financing efficiency to measure the credit risk of small and medium-sizedenterprises effectively.This paper determined the parameters of the KMV model according to the actualsituation of China’s capital market, calculation of the value of equity volatility with ARMAmodel or GARCH model, finally consider the influence of inflation on the debtor to adjustthe distance to default, proposed modified KMV model. Then, it selects550SMEs in theShanghai&Shenzhen stock market as samples, calculation of listed SMEs distance todefault by modified KMV model. Research shows that the model has significant effect byintroducing the factor of inflation. Enterprise asset size, industry factors have significantinfluence on the listed SMEs credit risk. This paper mainly research contents include thefollowing six parts:The first chapter is the introduction part. It mainly introduces the background andsignificance of the topic and elaborated the small and medium-sized enterprise creditrisk. this article writing ideas and innovation.The second chapter mainly introduces the KMV model on the research at home andabroad.Introduced research status of KMV model at home and abroad, and the researchon existingare summarized.The third chapter introduces the KMV model theory. This chapter introduces thetheoretical framework of KMV model, and the volatility of the equity value, the distance todefault and other aspects of the KMV model parameters corrected theoretical analysis.The fourth chapter mainly study the prediction methods of equity volatility, this chapter mainly introduces the method of sample selection，this paper focuses on the ARMA modeland GARCH model, using closing price data of listed SMEs, through the ARCH effecttest samples will be divided into two categories, the sample data with ARCH effect use theGARCH model to estimate the volatility, the sample data without ARCH effect use ARMAmodel to estimate the volatility.The fifth chapter is the application of KMV model. to the small and medium-sized listedcompanies as a sample, setting the parameters of the model, the empirical analysis, accordingto the research results, using samples T test, ROC curve analysis of empirical research results,measures of effectiveness verification of the modified KMV model, and finally to the smalland medium-sized enterprise credit risk are analyzed.The sixth chapter is the application of KMV model. to the small and medium-sizedlisted companies as a sample, setting the parameters of the model, the empiricalanalysis, according to the research results, using samples T test, ROC curve analysisof empirical research results, measures of effectiveness verification of the modified KMVmodel, and finally to the small and medium-sized enterprise credit risk are analyzed.The seventh chapter is the summary part, finally the paper puts forward suggestions ofapplication in Chinese market.