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The Analysis on the Application of the Modified KMV Model in the Measurement of the Credit Risk of Listed Companies in the Second-board Market
Author(s): 
Pages: 46-51+56
Year: Issue:  5
Journal: Xi'an Finance

Keyword:  KMV modelsecond-board marketcredit riskEGARCH;
Abstract: Aimed at the situation that the traditional KMV model is not applicable to the environment of the second-board market at present in China, based on inheriting the existing research results, the paper further modifies the model, introduces the expected growth rate deduced by the earnings multiple ratio to KMV model, and uses EGARCH(1, 1) model to predict the volatility rate of the asset value of the company. Based on evaluating the credit risks of 13 listed companies in the second-board market and 13 listed companies in small and medium-sized enterprise board market, the results show that using the adjusted KMV model can well identify the difference of the credit risk between 13 listed companies in the second-board market and 13 listed companies in small and medium-sized enterprise board market, and more accurately grasp the change trend of the credit quality of listed companies.
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