The problem of credit risk is relevant for the bank. The purpose of scientific research - to develop a technique of adaptation and application of the model for the evaluation risk of KMV Russian entrepreneurs. The proposed method of evaluation credit risk of KMV Russian entrepreneurs has many advantages. Automation of calculations, based on plausible assumptions, will significantly reduce the time to process the customer's request. The article contains analysis of the KMV model based on the up-to-date results of the theory. The author investigates the possibility of modification, generalization of the model and practical implementation of the risk estimate of default entrepreneur KMV model using software package Visual Basic for Application on the example Management reporting of the entrepreneur. Showing the features of its application in the light of the modern achievements in the theory and practice of financial analysis. In this article suggested the finished result of evaluation risk of KMV Russian entrepreneurs, for risk assessment offered more precise recommendations for the practical use of KMV as a basic tool.