Credit risk measurement and early warning of SMEs: An empirical study of listed SMEs in China

摘要

In the process of resolving financing difficulties of small and medium enterprises (SMEs) in China, the measurement of credit risk of SMEs is a very challenging problem. In this paper we develop a novel model based on the original KMV model with tunable parameters to measure the credit risk of Chinese listed SMEs. By setting two credit warning lines to monitor the credit crisis of listed SMEs, we find that the predictive accuracy of adjusted KMV model is stable to the change of default points in Chinese listed SMEs, which is different from KMV Company's existing result. Our study shows that the credit risk of listed SMEs in China is relatively high and tends to increase during the chosen period from the year 2004 to 2006. We also find that the asset size has significant impact on credit risk and there are few credit risk fluctuations before and after the split share structure reform.