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Research on Credit Risk Measurement Based on Uncertain KMV Model

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DOI: 10.4236/jamp.2013.15003    4,256 Downloads   7,189 Views   Citations

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 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.

Conflicts of Interest

The authors declare no conflicts of interest.

Cite this paper

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.

References

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