Credit Risk Measurement For Supply Chain Finance Based On Modified KMV Model ——An Empirical Study From New Energy Vehicle Industry

With the transformation and upgrading of the domestic economy,the energy structure has changed and the new energy industry is growing.Among them,the new energy automobile industry is facing the dilemma of government subsidies retreat,and needs to take multi-finance measures.After the development of the auto industry from1.0 to 3.0,supply chain finance has a relatively complete financing system,which can provide a reference for the financing of the new energy auto industry.However,as an emerging industry,the new energy vehicle industry has the problem of high probability of default in supply chain finance,so it is necessary to measure the credit risk for the new energy vehicle-related enterprises in the supply chain.Measuring the default probability of each link in the supply chain in a more accurate way can help relevant enterprises avoid credit risks under supply chain finance and make better risk decisions.First,this paper classifies the supply chain of new energy vehicles into leading enterprises,lithium battery enterprises and charging pile enterprises according to the classification of supply chain in domestic and foreign literature,so as to screen out 17 representative enterprises and analyze the current situation of new energy vehicle supply chain based on supply chain theory.Secondly,the classical KMV model is an important model for supply chain finance risk measurement,but since the initial data of this model comes from foreign databases,it is necessary to adopt the modified KMV model to measure the risk of domestic new energy vehicle industry.The modified KMV model is characterized by using different heteroskedasticity to measure volatility and exploring the possible leverage effect of the new energy vehicle industry in an asymmetric GARCH model to finally find the credit risk size of new energy vehicle companies in different parts of the supply chain.The empirical study shows that according to the results of the modified KMV model measurement,the default probability of charging pile enterprises is greater than that of new energy leader enterprises,while the default probability of new energy leader enterprises is greater than that of lithium battery enterprises,and on an industry basis,each representative enterprise in the new energy vehicle industry also has different default probabilities.In response to the results,the current situation of the new energy vehicle supply chain and the event records of some enterprises in 2020 are combined to make corresponding explanations,and corresponding suggestions are given from the perspectives of new energy vehicle enterprises and banks respectively.