Research On Credit Risk Measure Of Listed Firms In Shanghai Share Market

In April2007, the American subprime crisis, which originated from the credit markets, had a bad influence on the credit markets and capital markets and triggered a global financial crisis.The problem of credit risk management caused by the crisis has been paid more strongly attention by the governments once again. The G20Seoul Summit approved the Basel Capital Accord III in November2010. Basel III gives a more sufficient supervision standard on capital and liquidityandimprovesthe international bank industry’s regulatory capital and liquidity requirementssignificantly, incorporating the greatest emphasis on the management of the risk. Basel States should implement this agreement in2013and full compliance by2019. As a member of the Basel Committee, the implementation of new banking regulatory standards is not only an international obligation but also an effective measure to improve risk management, which will better serve our society.Credit risk is always one of the most important risks of not only commercial banks but also the entire financial industry. In China, credit risk occurs mainly in the commercial banks’lending business, whose profits derives form credit spreads.With the impact of changes in the economic situation at home and abroad, thecredit risk of commercial banking has increased, especially the non-performing loans and non-performing loans have emerged after the first bouncein recent years. Since "Basel III" has put forwarded more stringent regulatory policies, we need to strengthen credit risk management of commercial banks and learn the advanced risk management techniques, improve risk management of commercial banks to narrow the gap with foreign commercial banks.On the selection of credit risk measurement model, we give a brief introduction to traditional credit risk measurement models and summarizeadvantages and disadvantages of each model. Although the credit risk can not be measured quantitatively, the traditional measurement model of credit risk had a positive role in promoting the development of the measurement of credit risk and laid the foundation for the modern measurement model.For the modern credit risk measurement model selection, this paper highlights the main content of the four modernmodels and their respective advantages and disadvantages. Comparativelywe analysis adaptability of four modern models in securities market in current situation, and the KMV model is prefer to being considered the most suitable model compared to others. Then we give a detailed description of the theoretical basis for the KMV model and the theory of this model.Since the stock market value of the equity value of the distribution exists fat tail, we estimate the equity value of yield volatility by using the GARCH (1,1) model.For the lack of historical default data of listed companies, it is difficult to get the actual distance to default and the corresponding relationship between the probability of defaultanddistance to default, so we directly use the distance to default to measure the credit risk. In the empirical process, we select*ST and ST stocks as default-group, and selectstocks which have the same securities, the same industry and asset size compare to default-group, as a non-default group. We calculate the distance to default of two samples and test the result by using the Mann-Whitney U and Kolmogorov-Smirnov non-parametric methods, which could improve the accuracy of the model. Both test result prove that the mean of distance to default and the distribution of distance to default are. significant. Therefore, the distance to default can effectively measure the credit risk of listed companies, and KMV model can also effectively measure the credit risk of listed companies.