Abstract
Based on the credit risk measurement of a variety of technical and historical review, this paper focuses on the KMV model. The authors select a wide range of sample data and calculate one by one, and use the results to analyze the applicability of the model in China from the perspective of micro level and macro level. It is cited that the model can be used to distinguish different risks of business, and the model results can be associated with indicators of corporate credit risk, and the macroeconomic data also be used to validate the model. It is concluded that the model can be used to distinguish different credit risks of China’s Listed Companies, also cited to match with China's current credit rating system. A useful suggestion is put forward that Chinese government should strengthen to supervise China's credit risk and create a fair and transparent credit market for every companies.
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Acknowledgements
This research is funded by China Linxin Risk Management Research Institute. Thanks also to my colleagues and students who give many useful ideas and suggestions.
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© 2011 Springer-Verlag Berlin Heidelberg
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Piqiang, Z., Hancheng, Z. (2011). The Credit Risk Measurement of China’s Listed Companies Based on the KMV Model. In: Wu, D. (eds) Quantitative Financial Risk Management. Computational Risk Management, vol 1. Springer, Berlin, Heidelberg. https://doi.org/10.1007/978-3-642-19339-2_14
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DOI: https://doi.org/10.1007/978-3-642-19339-2_14
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