The Study Of Default Risk Metric Based On Debt Maturity Structure

Default risk, also known as credit risk, it is the most important risk which the banking industry is facing, and a key factor leading to bank failures. For a long time, China’s commercial banks are troubled by the concentration of credit risk, a huge amount of bad loans and other problems; especially under the influence of the financial crisis, the domestic industry are suffering from varying degrees of impact, part of the corporate" debt pressure increased dramatically, it is difficult to repay the bank borrowings on schedule and in full, the events of default of listed companies occur frequently.The Article takes listed companies as a sample to explore how to measure corporate credit risk from the perspective of commercial banks. The study of credit risk measurement abroad is relatively mature, however, there is not a perfect credit risk measurement models for the characteristics of credit risk which is difficult to measure, as well as the limitations of economic models. At present, the major financial institutions tend to credit risk measurement models based on finance theory, statistical methods and computer technology-based, such as Moody’s KMV model. The KMV model is the promotion of the Merton model, with a wider range of commercial applications. Many domestic scholars, mainly from t the perspective of the applicability of the model, study the mode, and find that the KMV model has a good applicability in China.The article also select the KMV model to measure and analyze the default risk of listed companies, according to the specific characteristics of the debt maturity structure of listed companies in China, corrects the model calculation of the default point. The results showed that the modified model has the ability to identify default and non-default; at the same time, the analysis found that the model’s predictive ability for the listed companies non-special deal with is "poor". The article considers this is caused by the "pseudo-true state" which is because of a general increase in the default risk of listed companies and updates lag of listed company’s default status. In addition, the article analysis the influence of qualitative factors including industry and regional factors from the perspective of qualitative analysis; we found that the credit risk of listed companies showing significant accumulation of the industry, and the regional distribution related to economic performance and industrial structure.