Translated Abstract
Credit risk has become an emergent financial market risk, as well as the main challenges that China‘s financial market faces. Today China‘s commercial banks’ traditional credit risk measurement methods and means have a long way to meet the new situation. They can not satisfy the requirements of the New Basel Capital Accord and the credit problems of the listed corporations. Also they can’t meet the refinement of credit risk management .So we need to establish a new credit risk management standards. By improving KMV model, we make an attempt to set a more suitable model to China‘s listed corporations’ credit risk measurement. The results from empirical analysis show that the improved KMV model has great advancement: facilitated to collect data, simple to calculate and effective to identify credit risk. KMV model is a suitable credit risk management to China‘s current situation, and it will have a very bright future. Therefore, this thesis is divided into five parts : the first part discusses the background ,the purpose of the study and its significance In the second part ,the research literature review analyzes the main framework for the development of credit risk measurement model The third part analyses the theory and framework of KMV model and improves the KMV model to confidence with the China’s condition In the fourth part ,we select a sample of 52 listed companies of China in 2006.and use KMV model calculating DD and EDF of each listed company The fifth part of this study are the conclusion and the next phase prospect. The main points in this thesis : 1）on the study of development country’s mature credit risk measurement and management, I improve the KMV model combining China’s situation, and make it more suitable to China’s credit risk management.2）Share Reform has basically finished, it excluded a difficult problem of the application of KMV Model.3）the effect of dynamic KMV model is more valuable than the static model in credit risk measurement in this thesis, Author modify the model with dynamic method.4）The inclination of repayment is introduced in the definition of credit risk and which is used for improving the KMV model.5）ST listed companies are not suitable for KMV model.
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