The Measurement Method of Joint Credit Risk with the KMV Model and the Copula Theory

At present,credit risk measurement of the commercial banks in China,which mainly relies on the qualitative analysis of the financial report,is still at the stage of subjective analysis.However,quantitatively analyzing the credit risk by means of mathematical model has also made great progress,and different research results can be seen both in the single variable credit risk measurement and the joint credit risk measurement.This thesis discusses the measurement method of joint credit risk,and gives a mathematical model which can measure it.What has to be mentioned is that it integrates the KMV model in the single variable analysis with the Copula theory in the joint credit risk analysis so as to do some correlation analysis about the joint default probability between enterprises.Mainly to the use of business data in different periods of financial market obtained value of corporate assets,and estimated the value of these assets,then obtained the edge distribution of the data,get the related default correlation under the Copula functions.