An Empirical Research On Credit Risk Measurement Of The Listed Corporations

The credit is the foundation of modern market economy. Since "Southeast Asia financial crisis" of 1998 to recent years "Yinguangxia incident" and "Kelong incident", the credit risk receives more and more attention. The credit risk already became the critical problem which each countries financial organizations faces. Not only it affects the modern society economic life directly in each aspect, but also indirectly affects a national macroeconomic policy and the economical development. The listed Corporations is the main body of the modern economy. The credit risk is the core of financial System and critical point that the investors pay attention to. Establishes an effective method to measure credit risk of listed corporations is an important topic that our scholar currently faced.After analyzing and comparing the credit risk measurement of the domestic and foreign, this article has constructed a logistic regression model of credit risk measurement that based on the financial index. Take newly ST corporations of 2002 as violation sample, by utilizing the single variable return method and backward stepwise method to screen variables, and eliminate the multiple collinearities. Obtained a credit risk measurement model include 8 variables, and predicted the 2004 newly ST corporations. The result of return discovered that, the model explanation target mainly concentrates in the profit ability, the cash current capacity and development ability. It revealed, which the key affections of the credit risk lies in. The immediate cause of enterprise falls into the credit crisis is profit ability, the cash current capacity and development ability worsens gradually, but the deeper level reason is enterprise's development potential, the management and operation level decline, if the enterprise is unable to solve these problems, the enterprise will finally move towards the bankruptcy. The investors, the listed corporations, supervising and managing organizations should pay more attention to the profit ability, the cash current capacity and development ability, while against the credit risk. The model has 90.9% classified distinction accuracy on measuring estimated sample credit risk; 82.4% classified distinction accuracy on predicted sample. The conclusion is, that the logistic model may very good on analyze credit risk of the listed corporations compared with other models, and is helpful in measuring the credit risk effectively which our country investors and listed corporations faced, it has profound significance on standardizing and supervising our country stock market development, and has significant function in develops continually prosperity and booming to our country economic.