Research on Credit Risk Measurement Based on Uncertain KMV Model

DOI: 10.4236/jamp.2013.15003   PDF   HTML     4,521 Downloads   7,563 Views   Citations


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 Chinas 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.

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Zhan, N. , Lin, L. and Lou, T. (2013) Research on Credit Risk Measurement Based on Uncertain KMV Model. Journal of Applied Mathematics and Physics, 1, 12-17. doi: 10.4236/jamp.2013.15003.

Conflicts of Interest

The authors declare no conflicts of interest.


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