Credit Risk Measurement Of Listed Manufacturing Company Based On KMV Model

With the accelerated development of the global integration process,domestic enterprises have gradually grown and expanded,and the business has gradually expanded from the local to the global market.While the company's business is growing at a rapid rate,the demand for capital has also exploded.The way of raising capital has also experienced the gradual transition from the earliest relying solely on the company's own funds to the comprehensive financing stage of using bank credit loans and the securities market.While the capital market is prosperous,it will inevitably bring credit risks.How to effectively manage credit risks is a common problem faced by financial institutions.After comparing and analyzing modern risk measurement tools,this paper selects KMV model as the research model.Taking the listed companies in the manufacturing industry as an example,the KMV model is empirically analyzed to verify the model's ability to recognize the credit risk of China's financial market.The paper is divided into five chapters.The first chapter introduces the background of the research,the significance of the research,the structure and framework of the full text;the second chapter is a theoretical review,which briefly introduces the domestic and foreign literature related to credit risk measurement;the third chapter is the introduction of the risk measurement model,in the credit After comparing and analyzing the risk measurement model,after considering the advantages and disadvantages of various models,the KMV model is selected as the research tool of the thesis,and the theoretical basis,parameter setting and solution process of the KMV model are introduced gradually.The fourth chapter is the model.Empirical analysis,using the KMV model to calculate the default distance and theoretical default probability,and test the results of empirical analysis;the fifth chapter is the conclusions and recommendations,the main conclusions of the paper are refined,based on this Make relevant recommendations.Based on the above research,this paper believes that the calculation process of KMV model not only considers the financial statement information reflecting the company's operating status,but also covers the public information of the securities market.It has certain comprehensiveness.The empirical analysis test results of the model also indicate that the model is for credit.The ability to distinguish risks is strong.In order to make the KMV model more suitable for the actual situation of China's financial market,this paper suggests:(1)improving the securities market and improving the financial statements of the company;(2)continuing to strengthen theoretical research and enhancing the applicability of the KMV model;(3)constructing a database of defaults,Establish a mapping function relationship between default distance and empirical default probability.