Research On Credit Risk Of Listed Companies Based On KMV_Logistic Model

In recent years,due to the increasing uncertainty of the external macroeconomic environment,China's financial reform has been further developed,and credit risks have been exposed.In March 2014,the 11-day bond became the first default bond in the domestic bond market.According to the data extracted from Wind,there were a total of 6 credit default bonds in 2014,with a total default amount of about 1 billion yuan.In 2015,25 new bonds defaulted,but the default amount increased by 11.5 billion yuan.Until 2018,there were more than 125 new defaulted bonds,with the default amount reaching 120 billion yuan.Default of inferior bond has become the "new normal" of China's capital market.This article first introduced the KMV model in theory and the related parameters in the Logistic model significance and derivation,then this article has chosen by the third quarter of 2019 was classified as 155 listed companies of manufacturing industry,including ST companies and the actual default companies a total of 11 financial data and non-financial data to study its credit risk,will build the KMV – Logistic model by introducing the KMV model output marketization index of default distance and the financial indicators of listed companies were compared with the classic Logistic model,implement comprehensive study sample of risk of default,The empirical results show that,on the one hand,some market information,as well as the operation ability,growth ability,profitability,solvency four types of financial information are the important factors affecting the credit risk of listed companies in the light manufacturing industry.On the other hand,by comparing the empirical results of the two models,we find that the overall accuracy of the KMV_Logistic mixed model is higher than that of the classical Logistic model,indicating that the introduction of market index data can improve the accuracy of the model in measuring the credit risk of listed companies in the light manufacturing industry.China's economy has been in a situation of external and internal difficulties and stalemate,the overall macroeconomic environment shows a variety of uncertainties.With the impact of strengthened financial supervision and the pace of deleveraging,some poorly managed enterprises gradually appear capital chain break,external financing default and other results.The bond market is a typical microcosm of the macroeconomic environment.In 2014,chaori bond default became the first bond default event in China.Since then,credit default events have been frequent,and the market's understanding of credit risk has returned to rationality.This paper analyzes and collates the real default data of domestic manufacturing industry,which is of great reference significance for enterprises to discover and improve their own problems,investors to identify risks in advance and make rational investment decisions,and regulators to establish an effective credit supervision system..