Study On Debt Default Of Chemical Enterprise Based On KMV Model

Under the background of promoting the marketization process,more and more enterprises meet their development needs through financing.In recent years,with the continuous growth of the bond issuance scale,the credit risk of debt is gradually exposed.As of September 23,2020,there were 38 defaulting entities in 2020,including 94 defaulting bonds,involving a default amount of RMB 1112.8 billion.From this,we can see that with the development of the bond market,although the financing needs of enterprises have been solved in some degree,the awareness and ability of risk control of enterprises are still weak,which leads to a lot of debt default events.According to 2019 data from Guangda Securities Research Institute,15 companies in the chemical industry defaulted in 2019,ranking first in the Shenwan Level 1 industry category.Facing the transformation and upgrading of the industrial structure,the traditional industries are pursuing diversified operations,while the credit risk is also increasing.Many researches use KMV model to measure the credit default risk of enterprises.The full name of KMV Model is Credit Monitor Model,which was first proposed by three entrepreneurs(Kealhofer,McQuown and Vasicek)in 1993.Compared with the earlier credit risk measurement models,KMV is more time-efficient.However,this model is based on the statistics of foreign capital market,so its basic assumptions are not suitable for China.In addition,in recent years,the number of financial emergencies in China is significantly higher than that in foreign markets,and the value of enterprise assets often fluctuates abnormally.Since the traditional KMV model ignores the jump behavior of asset prices,it cannot effectively reflect the credit risk exposure of Chinese enterprises.In this paper,the KMV model based on the jumping behavior fully considers the abnormal fluctuation behavior of enterprise asset value,and measures the debt default risk of enterprises by this model.Manufacturing is the lifeblood of the national.economy.This paper takes chemical industry in manufacturing industry as an example to carry out sample empirical research.First of all,this paper starts from the concept of debt credit default,current situation and research theoretical model,combined with the research of domestic and foreign scholars,introduce the debt credit default risk measurement model,and focuses on the traditional KMV model and the improved KMV model based on the jump behavior.Secondly,the debt default risk under the traditional KMV model is calculated.Through the comparison between the experimental group and the control group,it is concluded that the default distance of the experimental group is smaller than that of the control group,so that means,the default probability of the experimental group is higher,so as to test the accuracy of the model measurement.Then,the improved KMV model based on the jumping behavior is used for a new round of measurement to test the accuracy of the improved model.It is found that the default distance of the improved KMV model in the experimental group is also smaller than that in the control group,and the data of the two groups are smaller than that of the traditional KMV model.This shows that the improved KMV model takes asset value abnormal fluctuations into account is prone to be effective,and these fluctuations will also increase the risk of debt default of an enterprise.Finally,this paper makes a theoretical analysis of typical cases in the chemical industry,analysis the reasons for credit default of traditional enterprises and puts forward policy suggestions.