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.