Credit Risk Measurement of Credit Bonds of Chinese Listed Companies Based on KMV Model
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Abstract
The sudden attack of COVID-19 has brought more unstable factors to the economic development of China and even the world. The risk fluctuation in the market has attracted the attention of all parties in the risk game.In this paper, the KMV model is used to measure credit risk. Taking the listed companies that issued A-shares and issued credit bonds in Shanghai and Shenzhen Stock Exchange as samples from 2016 to 2020, the validity of the model is verified at first.It is found that the average DD of the companies listed in Shanghai Stock Exchange is slightly higher than that of the companies listed in Shenzhen Stock Exchange from 2016 to 2020.In 2017, the overall default risk of the sample increased year by year after the minimum;Through the fluctuation of DD mean value in recent 3 years, it is found that the credit risk course of the whole industry is rising, which is related to the impact of the epidemic in 2020 on the industry economy.
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