Research On Credit Risk Measurement Of Listed Companies Based On KMV Model

With the continuous deepening of China's financial system reform,the number of innovative financial products in the market continues to increase,and various risks have emerged.The 19 th National Congress has clearly pointed out: "effectively preventing and controlling the credit risk of the banking industry,focusing on deepening the banking reform is a favorable starting point for providing new financial capacity." The core of credit risk management lies in risk measurement and scientific establishment of credit risk assessment and evaluation system.It is not only a necessary condition for effective management of credit risk,but also an important basis for mitigating credit risk.The KMV model takes the financial data and stock market fluctuations as input data,and obtains the default distance and expected default probability of the enterprise,and on this basis,measures and predicts the credit risk of listed companies.This article first compares and analyzes four important credit risk measurement models including KMV model.It is considered that compared with other models,KMV model is more suitable for China's financial environment,and China's capital market can basically meet the data input requirements of KMV model.Then,from the perspective of commercial banks,this article takes the listed chemical companies in China as the research object,and corrects the calculation method of the equity value in the model and the setting of the default point,and calculates the default distance and expectation of the sample company through Matlab tools.The default rate;then the T test in the sample of ST companies and non-ST companies,found that the default point is set within the effective range of(0.5,1),KMV model can significantly distinguish the credit risk of different chemical listed companies;In addition,based on the data obtained,this article establishes a warning line for credit risk default in China's chemical industry.Finally,this article believes that the KMV model can effectively measure the credit risk of listed chemical companies in China and can be used for forward-looking risk prediction.Based on the combination of theory and empirical analysis,this article puts forward suggestions: it should promote the improvement of China's credit information system and the establishment of default database;help financial institutions speed up the process of credit risk quantification;strengthen market supervision and prevent information distortion.