Credit Risk Measurement Of Chinese Non-listed Companies

Based on the general analysis and comparison of various kinds of credit risk measurement models, this thesis combines traditional nonlinear estimation method with the modern model, which is based on option pricing theory, to derive a quantitative credit risk model for measuring and monitoring credit risk of non-listed companies. As the next step, it makes empirical analysis based on the market data from Chinese listed companies and non-listed company data from one state owned commercial bank, and estimates effectiveness of private firm model, Probit model and the Probit model based on PFM. As a result, the analysis uncovers significant factors affecting the credit risk of non-listed companies. In the last part of the thesis, it adopts classification statistics and Receiver Operating Characteristics curve analysis to compare the power of three models, and completes with abundant empirical conclusions and further research directions.It is found that Probit model based on PFM has the greatest default prediction power, which increases discriminating ability with time to default; Probit model has relatively weaker power but still has the ability to predict credit fault; PFM has the weakness predictability, with less success rate on individual credit risk trend compared to overall. This has proven that introducing looking forward distance to default factor, which reflects market dynamics, to traditional static financial statement analysis, better illuminates credit risk conditions of non-listed companies, thus improves the performance of the model.Among different parameters, liquidity ratios, leverage ratios and size are proven to be the most significant groups of factors that characterized credit risk of domestic non-listed companies and can be applied to measurement. In these three groups, cash-to-assets ratio, short-term debt to assets ratio and interest cover ratio are the most significant and stable factors. Looking forward distance to default factor also has stable performance and high significance, with strong interpretation ability for credit risk. Profitability ratios, activity ratios and growth are less significant to the result, which have less relativity to company credit risk.