AM  Vol.5 No.13 , July 2014
Empirical Study on Credit Risk of Our Listed Company Based on KMV Model
Author(s) Liang Lin*, Ting Lou, Ni Zhan
ABSTRACT

KMV model is one of the most important credit risk evaluation models in the world. It uses B-S option pricing and Morton formula based on the market value and volatility of the company’s equity, debt maturities, risk-free interest rates and the book value of liabilities to estimate the market value of the company’s assets and the volatility of the asset value. In this paper, based on the theory of KMV model, we can derive the listed company’s default rate, and assess credit risk. And the result is reasonable.


Cite this paper
Lin, L. , Lou, T. and Zhan, N. (2014) Empirical Study on Credit Risk of Our Listed Company Based on KMV Model. Applied Mathematics, 5, 2098-2106. doi: 10.4236/am.2014.513204.
References
[1]   Chen, K. (2012) Measurement Study on Credit Risk of Listed Insurance Company Based on the KMV Model. Southwestern University of Finance, Chengdu.

[2]   Yang S.C. (2010) The Research on Credit Risk Measurement Methods and the Empirical Research of KMV Model. South China University of Technology, Guangzhou.

[3]   Zeng S.H. and Wang, F. (2013) Empirical Research on Credit Risk of Listed Manufacturing Companies Based on the View of KMV Model. Forecasting, 32, 60-63.

[4]   Peng, W. (2012) Study on Credit Risk of Listed Small and Medium Size Enterprises Based on the Analysis of KMV Model. Theoretical Research, 427, 23-30.

[5]   Black, F. and Scholes, M. (1973) The Pricing of Options and Corporate Liabilities. Journal of Political Economy, 81, 637-659.
http://dx.doi.org/10.1086/260062

[6]   Melton, R. (1973) Theory of Rational Option Pricing. Bell Journal of Economics and Management Science, 4, 141-183.
http://dx.doi.org/10.2307/3003143

 
 
Top