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Measure of credit risk based on the the KMV model listed company

Author: Anonymous From: www.yourpaper.net Posted: 2009-05-25 18:07:28 Read:
[Abstract] In this paper, the credit risk measurement of listed companies theoretical and empirical analysis of a sample of listed companies in China. More than 90% for the listed company after the share reform of China's securities market has been found that further increases in efficiency, the market value of the company, the share price reflects the actual situation, the use of blue-chip companies of the KMV model based on the evaluation of changes in market prices of China's securities market information to further enhance the value of the company underperformance Company's credit risk is more suitable to test the ability of the credit risk of a company listed on the model identification through empirical.
[Key words] credit risk of listed companies risk measure

With the enhancement of the active improvement in the level of economic activity and national economic relationships, it was found that the prevention and control of the importance and necessity of the various risks in economic activities. Credit risk is the main risks faced by the commercial banks, how to guard against credit risk reduction is an urgent requirement of our country commercial bank management. For China's commercial banks, corporate lending is the main business, most of the bank's financial assets for business loans, the credit risk of the loan is the most important part of commercial bank credit risk. Listed companies has become the main target of the commercial bank credit research the listed company credit risk characteristics to predict its future credit risk of commercial banks, investors and capital market regulators are of great significance.
This paper aims to combine the unique characteristics of the country's financial market the KMV model analysis, so that more adequately reflect the credit risk of listed companies in China, and ultimately a model to determine the credit risk of listed companies. This modern credit risk measurement model for use in China has important theoretical and practical significance.
KMV model principle
Through the review of foreign credit risk assessment model and a brief commentary on the basis of specific circumstances, combined with China's capital market, the paper selected the KMV default model as the main methods of credit risk evaluation of listed companies in China. The following simple exposition of the theoretical part of this model.
The basic idea of ??the KMV default model is the company's stock value is similar to a European call option. In other words, the stock value of a European call option isomorphism. Breach depends on the company's future market value of assets, if the company's debt maturity value of the assets is higher than the value of the debt, you have the power to repayment; when the market value of assets is less than the value of its debt, the company will Select breach of contract, and the company shares will become worthless.
The basic idea of ??the KMV default models shows that, you must first obtain the company's asset value and asset value volatility. Due to the company's asset value and asset value volatility can not be obtained directly from the market, KMV company use can be calculated from the capital market data equity value and equity value volatility, and then through the equity value of the asset value of the option pricing formula construction the relationship between, and the relationship between the volatility of the equity value of the value of the assets volatility, get the value of the assets and asset value volatility. Finally, the company obtained the distance to default.
Listed companies market value = market value of the outstanding shares of non-tradable shares market value
Outstanding shares of the market value of = the average daily closing price * outstanding shares, number
Non-tradable share market value = Net assets per share * (the total share capital of the listed company - the number of shares in circulation)

An Empirical Study of the KMV model
2008 ST companies selected 34 ST companies and 34 non-ST-pairing, which Shanghai 48 (accounting for 70% of the total sample) deep and 20 (accounting for the total sample 30 %), which can reflect the trend of the credit risk of listed companies in China. Select non-ST-paired to meet the matching principle: with a paired ST listed in an exchange with the same industry; paired ST; founded the closest and time to market; paired ST companies have similar average asset size, the difference does not exceed 20%. This ensures that the operating environment of the Company and the nature of similarity, in order to study contrast.
Front of parameter estimation method of sample data. This article discusses the standard normal distribution based on assumed that the value of the assets of listed companies, asset value growth rate is zero. The relationship of the market value of assets and asset volatility as follows:


Comprehensive comparison of various ST and non-ST's estimated that between 2004-2007 the distance to default mean, median, maximum and minimum values, can be seen in the four years prior to the occurrence of an event of default and the first three years does not see the obvious characteristics of default, and in the event of default of 4 years and 3 years ago when the ST's performance even more than non-ST distance to default, but visits default the first two years and one year before the default distance value found each ST distance to default in the first four years of a violation has gradually reduced, the opposite non-ST's distance to default to maintain a stable level in the four-year study period.

Third, the model test
From two aspects of the model test: The model results can clearly distinguish breach of contract between the Company and the non-defaulting company;, it should have a certain ability to predict if the model is applicable to the actual model calculations can be used to reflect With the breach of the date of the close distance to default progressively smaller. Section analysis for the former case, that is, whether there are significant differences in the mean of the test default paired samples distance to default; time series analysis In the latter case, the default record company, its distance to default as the default date approaches if there is a gradually decreasing trend, the default default from the mean and breach of contract in the first three years of the distance to default mean a significant difference. Independent samples T-test
31 default and 31 paired samples T-test of independent samples, the results shown in Table 2,

In 2004 and 2005, the difference is not obvious, but the distance to default on the 2006 and 2007 we can see, ST and non-ST listed companies credit situation is changing with different distance to default. Distance to default view, ST listed company of default distance is generally less than the non-ST listed company of breach of contract distance they been equal the mean of the test results show that, ST and non-ST's breach of contract from the significant level of 0.05% statistical significant the. They are significant at the 95% confidence level rejected the null hypothesis of equal mean, in the first two years ST has demonstrated the possibility of default. Non-ST companies the possibility of default is less than the ST's the possibility of default. Which to some extent reflects the real credit status.
2 variance test

34 ST companies from four years to the default occurs before the default occurs before the year distance to default variance analysis, the results are shown in Table 3, the Levene test significance level of 0.0001, less than 0.05, so the variance is significant.
And through the multiple comparison analysis showed, are shown in Table 4, the company default occurs before year 2007, distance to default and breach of contract four years ago, three years ago, the first two years of non-compliance from the mean differences were significant, indicating that over time, the passage of time, distance to default significant changes can predict the signs of corporate defaults.

The same time, the data in the table also shows a trend of listed companies is about to be ST's first four years, the default distance is gradually reduced, and the first two years and one year before the accelerated decline, and ST The difference of the distance to default of the Company and non-ST companies have gradually expanded. By the data in Table 2, the mean difference in the ST and non-ST distance to default ST had the year before, the maximum value of 1.1638. We can be derived by comparing the difference between the distance to default of the ST and non-ST place in the future the possibility of default size, depending on the size of the default distance of listed companies to targeted extraction risk reserve. Compare ST and non-ST default distance mean significant difference instructions KMV model ST listed companies four years ago, has a strong recognition of the credit standing of the Company the ability to change the trend. The default distance gap between the ST and non-ST gradually expanded and gradually significant difference, fully reflects the gradual deterioration of the credit status of the ST. Under the premise of a large number of publicly traded companies from the default, we can build a credit transfer matrix suitable for the actual situation of China's listed companies based on the distance to default.
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