An Application of KMV Model on Quantitative Assessment of Credit Risk in Chinese Commercial Banks

作者：Ren Shuxia; Sun Qiming; Shi Yuguang

来源：International Conference of Management Science and Information System, 2009-09-28 to 2009-09-30.

• KMV Model
• Credit Risk
• Commercial Banks

The KMV model can assess and predict credit risk for the listed companies and listed banks. The value of the company's share price is looked as call option prices on the asset value and the debt is looked as put option for creditors on the asset value in the KMV model. We apply the KMV model to assess credit risk quantitatively based on stock prices of the listed company for Chinese commercial banks in this paper. Through analyzing the sample data which we selected from the listed companies we obtained DD (Distance-to-Default) of each company by KMV model. The outcomes show that DD can be used to assess and predict the credit risk from the listed companies quantitatively. So we can manage the credit risk effectively by establishing the risk prediction system based on DD.

• 出版日期2009
• 单位北京大学