A Study Of Credit Risk Measurement Of China′s Listed Companies

The measurement of credit risk is the basis of credit risk management. The great progress of scientific technology and the changing international economic environment make credit risk more complicated. How to measure credit risk exactly is attracting more worldwide attention. Along with more deep research on the credit risk, new models and methods are coming forth and new methods of credit risk measurement are put into practice. It is the important task for the financial institution to learn internationally advanced management technology and methods of credit risk and then build own measurement system of credit risk. The subprime crisis originated from the USA has finally evolved a global financial crisis and it sounds an alarm on us. To strengthen financial supervision is a matter of great urgency. All countries joined the G20 Summit reached an agreement on the financial supervision. They pledged to build a financial supervision frame with high efficiency. On this basis, this paper carries a research on measurement of credit risk for the listed companies in China.The paper adopts a combined method with theoretical analysis and empirical study. First of all the paper reviews relevant methods and literature on measurement of credit risk. Secondly, it introduces domestic research result in this field. Third, it takes a theoretical discuss on the adopted method of measurement of credit risk elaborately. On this basis, it makes an empirical analysis on the credit risk of listed companies in China.According to the listed companies'ROE,this paper selected nine special treatment, and selected the corresponding nine normal listed companies to make the comparison to draw relative conclusion. At present, We cannot find the exact default probability of a listed company because of the incomplete database of credit record. But we can use the anticipated default probability to evaluate the credit risk of a listed company. The result of the KMV model indicates that the KMV model can identify credit status of good performance company and bad performance company. It can also identify the variation trend of company's credit status. So it can provide a reference for a bank or investor's decision-making.