Study On Models Of Default Risk And Application To Listed Firms

With the development of world economy, financial industry is more and more importantin many countries.However, financial risk, especially credit risk happens high frequency. Aseries of models of measuring and managing credit risk have been empoldered in westerndeveloped countries especially Amercia. The method of evaluating credit risk is mainlyconventional qualitativer analysis in China with few credit risk quantitative modeling andapplication.So studying character of deomestic credit risk and exactly measuring enterprises'credit risk are important task o in domestic financial field. Based on comparing default riskmodels, the paper employes structure models which is the up to date methods to measuredefault risk of domestic listed banks and issued issued commercial paper's listed firms.Thepaper includes six chapters, in which the first chapter is introduction; the last one isconclusions and prospect. The specific structures of the main body will be briefly introducedas follow.The second chapter: Study on improvement and comparation of models of defaultrisk.Based on valuating the method of the newest default risk models and integrating thesituation of our country, the paper gives the thoughts of ameliorating econometric model andamelorates the Merton (1974) model. The paper compares the different default risk modelsin-depth.The third chapter: Study on adapting of structure models. Analysizing of applicability ofstructure models in domestic martkets from qualitativer analysis and quantitative analysis.theresults show structure model's basic parameter relationship hypothesis has been proved indomestic market, this means that structure model can be applied to our country.The forth chapter : The paper measures 5 listed banks's default probability based onMerton(1974) model and tests the influence factors of banks's default rate, the results showthat sample banks' default probability from 2003 to 2005 is higher than from 2000 to 2002,this means that banks's default risk is ascensive. After testing influence factors of banks'default risk, we find the cost efficiency from DEA model and capital adequacy rate are themost prominent influence factors.The fifth chapter:The paper measures the credit spread of the 45 issued commercial paper's listed firms based on multi-structure models, the results show that the default risk ofsample firms is averagely low,but there is some fluctuation.The relationship between differentstructure model's theory credit spread is interrelated, this means these models have coherence.After testing relationship between structure models' credit spread and actual spread, we findcredit spread from Merton(1974) and improved Merton(1974) by this paper is very low,butthe two models can reflect actual spread of sample firms.Fixed first-time-passage model andB-C model can improve the problem of theory credit spread being lowly estimated and alsoreflect actual spread.Endogenous default boundary model(L-T) can further improve theproblem of theory credit spread being lowly estimated,but credit spread from L-T modeldeviates from actual spread.