Abstract
Regarding KMV model identification credit risk profile of small and medium-sized listed companies, at present, domestic scholars has made some achievements in the process of the KMV model combined with China’s national conditions. In this paper, we will amend the model by using uncertain interest rate instead of fixed rate on the basis of existing research. Comparing the uncertain KMV model to traditional KMV model with ST-listed companies and non-ST-listed companies in Shanghai and Shenzhen stock exchange, we find that it performs slightly better as a predictor in uncertain KMV model and in out of sample forecasts.
Highlights
With the improvement of the activeness in economic activities and enhancement of national economic relationships between countries, people found that it’s important and necessary to be on guard and control the various risks in economic activities
Nowadays commercial banks face two kinds of risk, one is non-systemic risk, such as credit risk, settlement risk, and the other is systemic risk, such as market risk, interest rate risk, currency risk and so on, and credit risk is the main risk in that commercial banks face in the course of business
Yang [4] used qualitative and demonstration method to carry on the theoretical analysis and empirical research on credit risk measure model, he made analysis on KMV model used in Chinese enterprise with newest data of corporation in stock market
Summary
With the improvement of the activeness in economic activities and enhancement of national economic relationships between countries, people found that it’s important and necessary to be on guard and control the various risks in economic activities. W. Zhang [1] carried out a theoretical study of the credit risk of listed companies measurement and analyzed the samples of China’s listed companies. Research shows that at this stage, KMV model based on options pricing breach theory could well apply to China’s credit risk measurement of listed companies. Liang [3] made the empirical analysis of KMV model widely used in foreign countries combined with the actual situation in China, and they amended parameters in order to enhance the applicability of the model in the Chinese market. Yang [4] used qualitative and demonstration method to carry on the theoretical analysis and empirical research on credit risk measure model, he made analysis on KMV model used in Chinese enterprise with newest data of corporation in stock market. In order to reflect and solve practical problems better, we will introduce the uncertain variable into the research of credit risk
Sign-in/Register to view highlights & summary Sign-in/Register to access full text options 
Talk to us
Join us for a 30 min session where you can share your feedback and ask us any queries you have
Schedule a call
