China’s Medium-term Notes Credit Risk Measurement Research Based On KMV Model

Medium-term notes as an important means of enterprise interim financing in our country,since the first published in 2008,has a history of nearly 10 years of development.Medium-term notes relative to other financing methods,not only cheap,but on the issue deadline is quite flexible,effective to fill the gaps in mid enterprises financing.However,since 2015,our country bond market to break the rigid,started to default.Statistics from 2016,the medium-term notes market default quantity increase gradually,medium-term notes credit risk quantification and identification,become a major problem faced by financial markets.This paper compares several kinds of modern credit risk measurement methods,and points out that the KMV model based on BSM option pricing model more suitable for China’s medium-term notes market risk measurement.Currently using the KMV model to measure the risk China’s mediumterm notes studies have not much,in this paper,based on the medium-term notes for market samples,test whether the KMV model is suitable for used to measure the default risk of the medium-term notes.Test mainly divided into two parts: the vertical test and Time-series tests,vertical test part according to the credit rating level selection of three groups of different ratings of medium-term notes,after modified KMV model parameters,medium-term notes sample calculation parameters,using the KMV model to calculate the distance to default,using SPSS significance analysis was carried out on the three sets of results,if significant differences between the three groups,the KMV model be able to significantly distinguish different credit rating of the medium-term notes default risk.In Time-series tests,firstly,choose one of our country’s credit rating changes frequently medium-term notes,second get the parameters needed for calculation model,and calculate the distance to default,finally compare the change between default distance and credit rating during the observation period.If the trend is consistent,the KMV model effectively describe the risk of change in the medium-term notes.Through the test,when the gap between different credit rating medium-term notes is huge,KMV model can effectively distinguish between different ratings of the medium-term notes credit risk.Vertically,the KMV model can effectively describe the medium-term notes credit risk changes,and proactive.Comprehensive,KMV model suitable for risk prevention of mid-term paper market in our country,ensure the stable and healthy development of China’s financial markets.