ON CORPORATE CREDIT RISK EVALUATION BASED ON UNDERLYING BETA

摘要

According to the KMV model which uses the option pricing methodology to construct a structured model and regards the company's equity value as the call option of the company's asset value, this paper innovatively combines the ideology of option underlying beta with the KMV model to evaluate realistically corporate credit risk. To do this, the article attempts to capture the nonlinear relationship between the company's equity price and asset value from the perspective of the option underlying beta, and uses the weighted average cost of capital (WACC) to determine the underlying beta, and further excavates and depicts the process of the change in the company's asset value. The empirical results showed that the structured credit risk model based on the underlying beta is superior to the traditional KMV model in the test of 'non-Special treatment (non-ST)' companies, but the application to 'ST' companies in financial crisis is not satisfactory.