The Credit Risk Of Listed Companies Based On KMV Model Research

In the financial network which establish by the credit system, the most important thing is the management of the credit risk. However, compared with the mature financial markets, we still lack of effective credit risk measurement methods. KMV model is widely used in the foreign mature financial markets. With our country financial market system improved in the future, the application of the KMV model and application requirements will be more and more widely. This paper based on the manufacturing sector which risk outbreak recently, using the KMV model to measure the risk, to discuss the applicability of the model in manufacturing industry of our country, and further explore the factors affecting the credit risk according to the calculation results of KMV model.This paper first compare several typical analysis credit risk measurement models, clarify KMV model has the advantages of high accuracy and dynamic. Second, choose manufacturing companies as the research object, using the horizontal and vertical comparative analysis, pointed out that our country manufacturing industry contains a lot of credit risks. On the one hand, through the establishment of KMV model to credit risk measurement, the model can effectively identify risks, on the other hand, measurement results show that the credit risk increased from 2010, which is same to the present situation analysis. At the same time, the measurement result has significant correlation with the traditional credit risk financial index. All these conclusions suggest that the KMV model has a strong applicability in manufacturing industry in our country. Further, through the panel econometric analysis using the model calculation results, points out that the factors influencing the credit risk are the capital structure, cash security level, mainly includes the assets turnover, profitability, the macroeconomic level. On the one hand, this conclusion illustrates the model results can be explained by related indicators, on the other hand this also provide methods for enterprises to control their own credit risk. Finally, this article presents the corresponding policy recommendations from how to reduce the credit risk and how to improve credit risk management environment to make the KMV model more efficient.