Research On Credit Risks Measurement And It's Relation With Macro-economy

Along with continuous development of Chinese market economy, the operational behavior of the main economy bodies have become more and more multiplex, complicated, and even worse: some companies and individuals are frequently unable to pay back the debt for various reasons, which directly leads to more and more credit risks facing these main economy bodies in the economic activities. In China, once appeared phenomena of"the triangle debts"problem and massive bank bad accounts are highlight of credit risks. The huge quantity and the concentrated degree of credit risks problems causes our government, financial organ and enterprises think more of credit risks management. Therefore, during recent years, more and more Chinese scholars are involved in this field and have also made many progresses.But as a whole, the research of credit risks in China is still at the start stage, and quite backward compared with some developed countries. Our backwardness of credit risks research mainly embodies in aspect of credit risks measurement. Due to a long time of insufficient think of credit risks measurement in China, the work of accumulation of related credit risks data has been neglected seriously, which causes scarce data to support lots of research and seriously affect to access to a scientific research conclusion .As a result of data collection problem in the research of credit risks measurement, this article is bases on our country's actual situation to measure by gathering data of listing companies from 1993 to 2002 in China stock market. The analysis tool includes option model to calculate key parameter of listing companies'credit risks, such as, default rate, recovery rate and credit spread etc. The utilization of option model to measure credit risks is the earliest and most widely used method in the world. Some of Chinese scholars have ever used this method to study credit risks by adopting China stock market data. The main difference between this article and other former domestic research is as the following: the time span of the adopted data is long enough, the coverage of selected listing companies is broad enough, the calculated credit risks parameters are diversified, especially the calculation of credit risks parameters average of listing companies according to time, industries, and regions, which manifest the whole credit risks of listing companies in China from different aspects and help to analyze the credit risks periodically and collectively. Most domestic and foreign credit risks research concentrates on microscopic analysis of credit risks, with the main purpose of pricing the financial products and financial organ risk management practice. But in China, Many facts indicate that the credit risks have presented systematic characteristic frequently, and the credit risks and the macro-economy and the monetary policy have the complex causal relation. Therefore, to analyze our credit risks in China, we can not neglect the relation between credit risks and the macro economy and the monetary policy. It is because of the demonstration research characteristic that this article can be possible to carries on the preliminary analysis of the relations between credit risks and macro economy and the monetary policy.This article research has the following innovation:1. The measurement data is from China stock market to elicit our credit risks statistics characteristic. The article adopts structure method to measure Chinese listing companies default distance, recovery rate and credit spread and come into being an integrated and serial judge with long time data collection and massive samples.2. To give dual attention to macroscopic and the microscopic factors, to define the credit risks from the payment ability and the repayment wish and proposes a default rate measurement model structure based on our real situation to combine the payment ability and the repayment wish.3. The understanding to credit risks of this article is more comprehensive and regards seriously the systematic research on credit risks. By the primary relevant analysis, and research on relation of credit risk and macro economy, that of credit risk and monetary policy to draw a conclusion that credit risk is a main reason leading to asymmetry of monetary policy.