Research On Credit Risk Assessment Of Listed Companies In Suzhou Based On KMV Model

The issue of credit risk plays an important role in corporate communications and is an important issue that many companies are concerned about in their economic activities.In order to assess the status of listed companies' credit risk in Suzhou City,the concept of credit risk and its evaluation methods were discussed.The characteristics and methods of credit risk were analyzed.After expounding the KMV model theory and the advantages and disadvantages and applicability of the model,the model was revised.The revised model was applied to listed companies in Suzhou City.Based on the above research,the main results of this paper are as follows:(1)KMV model parameter correction.In order to better distinguish between ST companies and non-ST companies,combining the data of 20 ST companies and 20 non-ST companies,the calculation method of the default point in the KMV model was revised.The results showed that when the value of k was taken as 1,the effect was differentiated.It is the most ideal and the revised KMV model accurately identifies the listed company's credit risk level in Suzhou City,which is in line with the actual situation of the company.(2)The assessment of the credit risk of listed companies in Suzhou City.The revised KMV model was used to measure the credit risk status of more than 70 listed companies in Suzhou City in the first half of the year,and 53 listed companies were used to analyze the changes in the credit risk of listed companies in the past seven semi-annual years in Suzhou City.The results show that listed companies in Suzhou City have good credit and fluctuations in credit risk are not significant.(3)Discussion on the influencing factors of listed companies' credit risk in Suzhou City.The spearman correlation analysis of 53 listed company's credit risk data and GDP and other macro data in the past 7 semi-annuals shows that: For the external influence factors of listed companies in Suzhou City,the main manifestations are the average value of default points,the average debt total and China's The correlation between the GDP of the three industries and the GDP of Suzhou City and the average value of the market value of the company's assets and the GDP of Suzhou City.The internal performance of the company is: the correlation between the average value of the expected default rate,the average value of the asset value volatility and the average value of the default distance,and the correlation between the default distance and the total company debt and the company asset value volatility.At the same time,there is a correlation between the credit risk of listed companies in different sectors of Suzhou City,and there are significant differences in the credit default risk of listed companies in different sectors.This paper analyzes the status and influencing factors of listed company's credit risk based on the actual data by amending the KMV model.Among them,the analysis of the application process and influencing factors of the model has certain reference value for theoretical development and practical practice.The evaluation conclusion has certain guiding significance for venture capital investment.