W. Zhang, “A Study on Listed Company’s Credit Risk Measurement Based on KMV Model,” 2008.

has been cited by the following article:

• TITLE: Research on Credit Risk Measurement Based on Uncertain KMV Model

  AUTHORS: Ni Zhan, Liang Lin, Ting Lou

  KEYWORDS: Credit Risks; KMV Model; Uncertain Interest Rate

  JOURNAL NAME: Journal of Applied Mathematics and Physics, Vol.1 No.5, September 27, 2013

  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.