Proceedings of the 7th Annual Meeting of Risk Analysis Council of China Association for Disaster Prevention

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

Authors
Zhiqiang Chen, Hongmei Zhang
Corresponding Author
Zhiqiang Chen
Available Online November 2016.
DOI
https://doi.org/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.
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Proceedings
7th Annual Meeting of Risk Analysis Council of China Association for Disaster Prevention (RAC-2016)
Publication Date
November 2016
ISBN
978-94-6252-242-8
DOI
https://doi.org/10.2991/rac-16.2016.87How to use a DOI?
Open Access
This is an open access article distributed under the CC BY-NC license.

Cite this article

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  - 7th Annual Meeting of Risk Analysis Council of China Association for Disaster Prevention (RAC-2016)
PB  - Atlantis Press
UR  - https://doi.org/10.2991/rac-16.2016.87
DO  - https://doi.org/10.2991/rac-16.2016.87
ID  - Chen2016/11
ER  -