Abstract
In this paper, the non-ferrous metal industry has been employed to build a credit risk measurement model. By modifying the model parameters and setting five different default points, we conformed that the predicted results of original KMV model was invalid, while the revised model has a better recognition ability between the blue chips and low quality stocks, under the redefining the default distance. It’s best to set the default point to the short-term debt. The results showed that the revised KMV model was able to improve the validity of the model and monitor the change of the credit risk of listed companies more accurately.
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Dong, L., Wang, J. (2014). Credit Risk Measurement of the Listed Company Based on Modified KMV Model. In: Xu, J., Cruz-Machado, V., Lev, B., Nickel, S. (eds) Proceedings of the Eighth International Conference on Management Science and Engineering Management. Advances in Intelligent Systems and Computing, vol 281. Springer, Berlin, Heidelberg. https://doi.org/10.1007/978-3-642-55122-2_79
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DOI: https://doi.org/10.1007/978-3-642-55122-2_79
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