An Empirical Research On Credit Risk Of The Listed Corporations In China

Credit Risk is one of the traditional and basic risks in financial market. Since 1980s, it was much accounted of credit risk because of increasing volatility in financial market. With the development of financial liberalization, globalization and innovation, the risk is more complex and the competition of financial industry increases. Banks, the listed corporations and all the investors were challenged by a growing number of credit risk.China have speeded up economy restructuring since she joined WTO; however credit deficiencies continue prevalence in China. As one of the most important risks in financial industry, credit risk is very prominent in securities market and the exposure on credit risk increases a lot. Meanwhile the listed corporations are facing huge credit risk. Domestic securities market development is still not standardized and incomplete; parts of the listed corporations, agencies and institutional investors don't obey the principle of good faith, who mislead investors by spreading false information and financial statement. Because a great deal of audit reports issued by accountant associations is also mendacious, the reports are no longer make reference to the value of investment. Credit risk of the listed corporations in China increased fast.International financial community has grown concern about credit risk after it became one of the most critical risk factors. Modern credit risk models have gradually developed to be used to measure credit risk for many international organizations while the market cried for more mature risk management instruments. Passing through periods of application on traditional credit risk management methods, lots of modern senior internal rating models are put into use. Credit risk is to be prevented to a certain extent. However, there is still not a model suited to China's national condition to monitor credit risk both of the listed corporation itself and the corporations who have business with it. Many scholars have applied kinds of credit risk management models to our financial market and find to manage credit risk with KMV model in China is more accurate than other models. Nowadays discussions on credit risk in China are in bloom and it is a new topic. This paper applies KMV model on the listed corporations in China, analyses its applicability in Chinese market, attempts to estimate the parameters in a new way and also brings forward the recommendations on the management of credit risk in China.The first chapter expounds several definitions and characteristics of modern...