On Application of KMV Model in Credit Risk Management of China's Securities Companies

DOI

10.2991/rac-16.2016.87How to use a DOI?

Keywords

KMV model; Credit risk management; Securities companies; Distance to default.

Abstract

As China's market-oriented and international level gradually increased, financial institutions, particularly, the securities firm's has faced much more risks which has showing a diverse, volatile trend. Through quantitative analysis methods, used KMV model to analyzes the credit risk of domestic securities companies. The results of research have shown that KMV model can be more accurate identification the credit risk of the securities companies. As well, China's securities companies are facing relatively large credit risks. So, securities companies should focus on improving the credit quality of the debtor and accelerating the establishment of the compliance's data management system, therefore securities companies' credit risk can be better identified and be controlled.

Copyright

© 2016, the Authors. Published by Atlantis Press.

Open Access

This is an open access article distributed under the CC BY-NC license (http://creativecommons.org/licenses/by-nc/4.0/).

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TY  - CONF
AU  - Zhiqiang Chen
AU  - Hongmei Zhang
PY  - 2016/11
DA  - 2016/11
TI  - On Application of KMV Model in Credit Risk Management of China's Securities Companies
BT  - Proceedings of the 7th Annual Meeting of Risk Analysis Council of China Association for Disaster Prevention
PB  - Atlantis Press
SP  - 541
EP  - 546
SN  - 1951-6851
UR  - https://doi.org/10.2991/rac-16.2016.87
DO  - 10.2991/rac-16.2016.87
ID  - Chen2016/11
ER  -