Measurement of the Credit Risk of Medium-Sized and Small Enterprises Based on Modified KMV Model

doi:10.3969/j.issn.1007-2985.2014.03.006

journal6 ›› 2014, Vol. 35 ›› Issue (3): 23-27.DOI: 10.3969/j.issn.1007-2985.2014.03.006

• Mathematics • Previous Articles Next Articles

Measurement of the Credit Risk of Medium-Sized and Small Enterprises Based on Modified KMV Model

YUAN Xing-Xing, WANG Qin, YI Wen-De, SU Jia-Lin

(1.College of Mathematics,Southwest Jiaotong University,Chengdu 610031,China;2.School of Mathematics and Statistics,Chongqing College of Liberal Arts and Science,Chongqing 402160,China)

Online:2014-05-25 Published:2014-07-05

Abstract

Abstract: The credit risk of 14 companies (7 ST and 7 non-ST) is measured by KMV model.The KMV model is modified in the value of assets and the value volatility of assets,according to the actual situation of Chinese stocks.The modified model is then used for empirical analysis.The results show that ST companies have a higher credit risk than non-ST companies,and for the troubled ST company,KMV model also provides a new perspective to measure the credit risk.

Key words: KMV model, credit risk, medium-sized and small enterprises, measurement

YUAN Xing-Xing, WANG Qin, YI Wen-De, SU Jia-Lin. Measurement of the Credit Risk of Medium-Sized and Small Enterprises Based on Modified KMV Model[J]. journal6, 2014, 35(3): 23-27.

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Measurement of the Credit Risk of Medium-Sized and Small Enterprises Based on Modified KMV Model

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