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

The manufacturing industry plays a pivotal role in the economic development of our country,which is the instrument of rejuvenating the country and the foundation of making China strong.At present,the risk resistance ability of manufacturing industry in China is still weak,and the traditional labor-intensive manufacturing industry,which accounts in a large number,is still at the end of the value chain.Following the effects of slowdown domestic demand,rising production costs and deterioration external environment,the production index of the domestic manufacturing industry has been hovering around the marginal value for a long time in recent years,and it indicates that the overall operation situation of the industry is not too optimistic.Since the manufacturing industry has relatively complex industrial chains and supply chains,the default of an enterprise will not only affect the guarantee chain enterprises,but also transmit the risk to the downstream enterprises along the industrial chains and supply chains,which might lead to a centralized outbreak of enterprise risks.President Xi has repeatedly stressed that "to accelerate the construction of a manufacturing power,the manufacturing industry is the lifeline of the national economy".At the stage,it is particularly important to pay attention to the status quo of the domestic manufacturing industry and promote the high-quality development of the manufacturing industry.In the near future,commercial banks will devote more financing resources to support the development of the manufacturing industry,and the complex industrial chains and guarantee chains of the manufacturing industry also make the default risk of the manufacturing industry greater than that of other industries.Therefore,the commercial banks should accurately measure the credit risk of manufacturing industry,which is not only the internal demand of commercial banks to improve their core competitiveness,but also the strategic tasks of financial support.Therefore,it is particularly important to pay attention to the current situation of the domestic manufacturing industry and accurately measure the credit risk of manufacturing industry and promote the high-quality development of the manufacturing industry.Firstly,this study introduces the definition and characteristics of credit risk and credit risk of listed companies the characteristics,formation reasons and the status quo;then,review of the domestic and foreign studies’ results related to credit risk measurement and empirical results,based on the various models of the advantages and disadvantages,KMV model was selected as an empirical model.Next,the theoretical basis of KMV model is elaborated,and three default points are set for comparative analysis in combination with the actual situation of China’s capital market.Meanwhile,the GARCH(1,1)model,which has a good fitting effect on financial time series,is introduced to calculate stock value volatility.Subsequently,11 pairs of ST companies and non-ST companies were selected from domestic listed manufacturing companies in a ratio of 1:1 to carry out empirical analysis using the modified KMV model,and the results were tested by paired sample t-test and Wilcoxon rank sum test,Finally,the reliability of the research results was verified from the side by combining the ESG rating of The Chinese Securities Index.The results showed when the GARCH(1,1)model were used to obtain the stock value volatility and the KMV model was used,and the default point coefficient was set at 0.25,and the significant differences in the default distance were compared between the default and control groups.The default distances of the default group were relatively close,and it indicated that the default risk of the default group was relatively higher.In conclusion,the study showed that the KMV model modified in this paper could effectively identify the credit risk of listed companies in manufacturing industry in China.