In recent years,China's bond market has experienced rapid development,but the pace of credit risk supervision has not kept up.Since 2014,the number of domestic credit bond defaults has increased.In 2016,there were...In recent years,China's bond market has experienced rapid development,but the pace of credit risk supervision has not kept up.Since 2014,the number of domestic credit bond defaults has increased.In 2016,there were 79 domestic default bonds,with a default amount of up to 40.3 billion Yuan.From the perspective of domestic bond market credit risk supervision and early warning mechanism,rating is not objective,and tracking is not timely also rating methods are backward.Therefore,with the development of big data and other technologies,it is urgent to study credit risk supervision methods suitable for the domestic bond market.On the basis of combing the development of domestic bond market and analyzing the current situation of domestic credit rating,this paper combines the results of theoretical research at home and abroad,the information available in the domestic market,big data mining and automation technology,based on the financial and stock exchange information of listed companies,combined with BS option pricing theory,constructs KMV model.展开更多
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...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.展开更多
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 nation...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.展开更多
文摘In recent years,China's bond market has experienced rapid development,but the pace of credit risk supervision has not kept up.Since 2014,the number of domestic credit bond defaults has increased.In 2016,there were 79 domestic default bonds,with a default amount of up to 40.3 billion Yuan.From the perspective of domestic bond market credit risk supervision and early warning mechanism,rating is not objective,and tracking is not timely also rating methods are backward.Therefore,with the development of big data and other technologies,it is urgent to study credit risk supervision methods suitable for the domestic bond market.On the basis of combing the development of domestic bond market and analyzing the current situation of domestic credit rating,this paper combines the results of theoretical research at home and abroad,the information available in the domestic market,big data mining and automation technology,based on the financial and stock exchange information of listed companies,combined with BS option pricing theory,constructs KMV model.
文摘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.
文摘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.
