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Assessing the default risk of Chinese public companies in the energy industry with the KMV model

Duan, Jie LU and Ren, Shubiao LU (2011) NEKM03 20111
Department of Economics
Abstract
The structural approach to credit risk modeling has gained a growing attention in both the academics and in the industry. In this dissertation, we outline the basic ideas and structures of the KMV (Merton) model and also explain some related issues before implementing this model. Referring to the KMV model, we use the KMV model to identify the credit risk of listed companies in China. We use real data to examine the default probability of 30 companies (ST and non ST) in the energy sector, and the time period is from 2001 to 2010. Our results indicate that the KMV model has the ability to early identify credit risk in the energy industry of China. Also, the recent share structure reform has affected the credit risk and equity volatility of... (More)
The structural approach to credit risk modeling has gained a growing attention in both the academics and in the industry. In this dissertation, we outline the basic ideas and structures of the KMV (Merton) model and also explain some related issues before implementing this model. Referring to the KMV model, we use the KMV model to identify the credit risk of listed companies in China. We use real data to examine the default probability of 30 companies (ST and non ST) in the energy sector, and the time period is from 2001 to 2010. Our results indicate that the KMV model has the ability to early identify credit risk in the energy industry of China. Also, the recent share structure reform has affected the credit risk and equity volatility of the firms in the Chinese energy sector. (Less)
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author
Duan, Jie LU and Ren, Shubiao LU
supervisor
organization
course
NEKM03 20111
year
type
H1 - Master's Degree (One Year)
subject
keywords
distance-to-default , The KMV model, Merton, the share structure reform, credit risk, ST stock
language
English
id
1975050
date added to LUP
2011-06-17 11:22:45
date last changed
2011-06-17 11:22:45
@misc{1975050,
  abstract     = {The structural approach to credit risk modeling has gained a growing attention in both the academics and in the industry. In this dissertation, we outline the basic ideas and structures of the KMV (Merton) model and also explain some related issues before implementing this model. Referring to the KMV model, we use the KMV model to identify the credit risk of listed companies in China. We use real data to examine the default probability of 30 companies (ST and non ST)  in the energy sector, and the time period is from 2001 to 2010. Our results indicate that the KMV model has the ability to early identify credit risk in the energy industry of China. Also, the recent share structure reform has affected the credit risk and equity volatility of the firms in the Chinese energy sector.},
  author       = {Duan, Jie and Ren, Shubiao},
  keyword      = {distance-to-default
,The KMV model,Merton,the share structure reform,credit risk,ST stock},
  language     = {eng},
  note         = {Student Paper},
  title        = {Assessing the default risk of Chinese public companies in the energy industry with the KMV model},
  year         = {2011},
}