Back
 JAMP  Vol.1 No.5 , November 2013
Research on Credit Risk Measurement Based on Uncertain KMV Model
Ni Zhan*, Liang Lin, Ting Lou
Show more
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.
Keywords: Credit Risks; KMV Model; Uncertain Interest Rate
Cite this paper: Zhan, N. , Lin, L. and Lou, T. (2013) Research on Credit Risk Measurement Based on Uncertain KMV Model. Journal of Applied Mathematics and Physics, 1, 12-17. doi: 10.4236/jamp.2013.15003.
References

[1]   W. Zhang, “A Study on Listed Company’s Credit Risk Measurement Based on KMV Model,” 2008.

[2]   Z. J. Zhang, X. H. Chen and F. Q. Wang, “Research on Credit Risk of Small and Medium-Sized Listed Companies in China Based on KMV Model,” Journal of Finance and Economics, Vol. 33 No. 1, 2007.

[3]   X. Y. Liang, “A Study on Medium-Sized Listed Companies’ Credit Risk Measurement Based on KMV Model,” 2012.

[4]   S. C. Yang, “Empirical Study on Credit Risk Measurement Methods and KMV Model,” 2010.

[5]   B. Liu, “Uncertainty Theory,” 2nd Edition, Springer-Verlag, Berlin, 2007.

[6]   B. Liu, “Uncertainty Theory: A Branch of Mathematics for Modeling Human Uncertainty,” Springer-Verlag, Berlin, 2010.

[7]   S. Zeng and J. Zhou, “Structure of Default Risk, Interest Rate Fluctuations and Debt maturity—Interest Rate’s Feedback Effects of Corporate Debt Financing,” Journal of Jiangxi University of Finance and Ecomomics, No. 3, 2008.

 
 
Top