The Adjustment Of Default Point In KMV

Credit risk is the three financial risk- market risk, credit risk and operational risk one,at present, due to the particular financial environment, the listing approval system is still used, so the listed companies in our market has in fact constitutes a high Shell Resources.Meanwhile, the current bond market is very compact, listed companies to issue bonds in this regard are gaining momentum. Therefore, the listed company’s credit risk profile is very urgent and practical significance.At present, the quantitative analysis in our country to develop vigorously, to explain the research problem by changing the data and the data is more convincing and credible.Merton first Black-scholes option pricing methods into the field of credit risk prediction,and then through the establishment of the company KMV default point and probability of default mapping improved the Merton model, become more mature credit risk prediction models.After the paper at home and abroad on credit risk prediction models are compared to select the foreign effective predictive models more commonly used model to study-KMV discussed. Abroad by the use of KMV model default point is a combination of foreign enterprises set map defaults, the author of China’s listed companies revised set of default data point, and through the analysis found, KMV model in China’s listed companies credit risk evaluation although not significant, but it can to a certain extent to investors a hint.This article is divided into the following five parts:The first part of this article will examine the background to do a presentation, but also reviews the main developments and achievements at home and abroad, it leads to the main model of this study.The second part of the various models of credit risk prediction methods currently used in the field, and by comparison of various model approach, extended the advantage KMV model.The third part introduces the KMV model, including the theoretical framework,forecasting processes, etc., and made a critical assumption, empirical analysis.The fourth part is the point of default of several models were revised statistical test,test more effective default point settingThe fifth part is the conclusion, and the probability of default of listed companies in the coming year to predict and propose limitations of this study.