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Credit Risk Measurement of Listed SMEs in China Based on KMV Model

The credit risk measurement of the Small and Medium Enterprises (SMEs) is a big problem in resolving their financing difficulties. In this paper, by improving the precision of parameters, we use the improved KMV model to identify the credit risk of listed SMEs in China. The model effectiveness test indicates that the KMV model after adjusting parameters is sensitive to the changes of credit risk, and it can accurately diagnose the ST companies in high credit risk. We monitor the credit crisis of listed SMEs by setting two credit warning lines. The results show that the credit of 50% listed SMEs below the second grade warning line should be noticed. And the credit of 90% listed SMEs below the first grade warning line should be on alert, and some remedy measures should be taken as soon as possible. Our study shows that the probability of default in listed SMEs is very large in China. The situation of credit is not optimistic, which have not changed much in latest three years, but the default risk trend to increase in 2006.