Empirical Study Of The Credit Risk Measurement On China's Listed Companies

The subprime mortgage financial crisis started in America has spread from American financial market to the economic entity, and further to the global economy. The subprime mortgage financial crisis result in slowly-growing economy in America,Europe and Emerging market countries, accompanying with global inflation, which affect the global economical expectancy significantly in the next several years. And this alarms us on the management of credit risk in China.The lack of suitable credit risk measurement models to monitor Chinese listed companies and their transactions associated is a big problem to the credit risk management. Through reference and learning international advanced credit risk management techniques and methods to establish suitable the credit risk measurement of models and methods is an important topic to the credit risk management. This article to carry out relevant research measure on the credit risk of listed companies in China under this background Based on this, this article used qualitative and the demonstration method to carried on the theoretical analysis and the real diagnosis examination research to the credit risk measure model. First, this paper introduced credit risk, credit risk of listed companies, the measurement indicators of credit risk, credit risk measurement models, credit risk rating and credit risk management concepts, and analyzed the important fundament role of the credit risk measurement in the credit risk management; Next, in this foundation introduced with emphasis several kind of modern measure model the primary coverage, the characteristic and the good and bad points, and have made the detailed correlation to them from model itself and China's feasible two aspects, thus obtains the KMV model to be suitable for our country at present national condition; Once more, introduce the theory of KMV model based on the vanilla options in detail including the foundation and the primary coverage, introduced the KMV model the integrity, including the KMV model based on the vanilla options applies in the firm come into the stock market, we use KMV model to evaluate the credit risk of 15 ST and 15 Non-ST companies in Chinese public market in order to test its ability to recognize the credit risk and analyze their difference, Results indicate that reform of the shareholder structure of listed companies made equity value of listed companies falsely increase and made the Effectiveness of the application of the KMV model partly decrease. Finally, the Logistic Regression model which depended on the corporate financial information got a high discriminating ratio for the testing samples that consist of 30 listed companies. Results also showed, the ability of solvency,management and profit were the key factors which led to the credit crisis of China's listed companies, therefore improving the level of the ability of management and profit would avoid the corporation getting into default.Innovation in this paper:Firstly, because KMV model is a forward-looking model, the result from which is in connection with share price tightly, the fluctuating of share price would influence the result obviously, and further to the applicability of KMV in China. Therefore, this paper tries to test the effectiveness of KMV model in our country, especially in 2007, when almost of companies'share price raised.Secondly, this paper uses the popular and traditional testing model—Logistical model, trying to compare the effectiveness between KMV model and Logistical model through the results from each model respectively.Shortage in the paper:Firstly, due to the ability of calculation, this article just only choose 30 listed companies as research samples, and this would lead to the non-universal rules and results.Secondly, this article only does a little part of works in testing the credit risk of listed companies, actually, to finish the work, there is much more work to do.Thirdly, this article is limited in the research of listed companies'credit risk, however, to the banks, the research in non-listed companies'credit risk is also important and significant..