Research On The Default Risk Of Listed Companies In China Based On KMV Model

From 2013 to 2016,China's bond issuance has undergone explosive growth.With the continuous development of China's bond market,the bond default risk is also exposed.Since "11 Chaori Bond" became the first default bond in 2014,China's annual outbreak of bond defaults increased continuously.In just three years,the number of defaulted bonds increased from 6 in 2014 to 79 in 2016.Last year an event shocked the entire market.As a state-owned enterprise,Dongbei Special Steel Group occured nine consecutive bond defaults in only six months,involving the amount of 5.8 billion.In fact,the upstream and downstream of steel industry chain also occurred debt default events.The macroeconomic downturn has spawned the credit risk exposure of the steel industry,and it is imperative to identify and prevent the default risk of steel companies' bonds.This paper uses the KMV model to measure the bond default risk of steel industry.The KMV model,as a credit risk measurement tool that has been affirmed in mature markets abroad,can provide dynamic and timely credit risk monitoring.To make it more suitable for Chinese market,this paper first corrects the parameters of the KMV model,and verifies the validity of the model by using significance test and historical data test.Then followed by cross-industry research and industry longitudinal research,the scope of the study expanded to 13 industries.Although the bond default risk of steel industry is in the middle level,the risk of upstream and downstream industries is generally high.Finally,the paper points out the default risk points of the steel industry from the external and internal perspectives,and puts forward relevant suggestions.