Research on Credit Risk Measurement Based on Uncertain KMV Model

Ni Zhan, Liang Lin, Ting Lou

College of Science, Guilin University of Technology, Guilin, China.

DOI: 10.4236/jamp.2013.15003                

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

Conflicts of Interest

The authors declare no conflicts of interest.

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