An Research On Credit Risks Measurement Of Listed Company In China

Credit risk measurement is the base of credit risk management, which is the kernel of bank management. With the progress of science and technology and the rapid change of international economic environment, credit risk has become more and more complex, attracting more and more focus from countries around the world. When much research effort was paid and much fund was invested into the research of credit risk, many new models and methods have been developed and put into practice. It is, therefore, an important task for China's banking to take the advanced technology of credit risk management from other countries for reference and set up models and methods suitable for China. With the above background, this paper decided to choose the credit risk measurement of China's listed companies as its research subject.Firstly, the paper reviewed the literature about methods and articles relative to credit risk measuremen,and analyses thoroughly the default and its reasons of some listed companies in our country, then introduces the research achievement our country obtained in this field, and judges and compares in detail the modern credit risk measurement which is used widely internationally. This essay puts stress on expounding four modern credit risk measurements, and judges the merits and shortcomings of them, then compares and analyses them from their vague generalization and applicability in our country. After such compare and analysis, the result comes out that under the present situation, KMV model is more applicable than the other three models. Based on this result the essay analyses theoretically KMV model in detail, and modifies some relative parameter according to the condition of our country, then analyses 62 China's listed companies as representation. Using SPSS software for statistics and testing, the result reflects precisely the actual credit condition of these companies and indicates from fixed quantity the applicability of KMV model in our country. At last, based on the theory and research mentioned above, the essay sums up our country's credit risk measurements and puts forward its suggestion and tentative plan.The study on Credit risk management is a newly developmental subject, on which is very difficult to do researches due to the semi-confidential senior models. Because credit risk in China is different from abroad, our government should establish Chinese listed corporations default database for all the financial institutes, the listed corporations and investors to evaluate their investments. We should constitute laws to help construct the credibility system as soon as possible. It is believed that an approbatory credit risk management model will be set up the near future.