Measuring And Management Research On Default Risks Of Companies And Bank Listed Based On Structural Model

During the past20years, financial crises which have frequently broken outaround the world have brought great effect on the world economic and causedheavy damage to the world. Studying the reasons of several big financial crises,it’s not difficult to find that the crisis caused by credit risks has destroyed theeconomy most and the recovery of the economic capacity is the longest. Thishas no alternative but to cause a highlight by academe and business circles.Although our country’s financial system has not presented the big credit risksunder the strong control, with day-by-day marketability and internationalizationof Chinese financial system the possibility owing to presenting the big risk as aresult of financial system own operation is in the enhancement. From this, weshould think highly of the credit risk of financial system.In1974, Merton proposed the Contingent Claims Model based on theOption Pricing Theory and has established the earliest credit risks model. Fromthis, the related research about credit risks model had the considerable progressin several decades. And also the structural model gradually improves exogenousand endogenous model. LT model is the endogenous structure credit risks modelwhich develops maturely currently. LT model believed that the default boundarywas affected by many factors, like capital structure of economic subject, theratio of assets and liabilities, tax rate, default (bankruptcy) cost, the returnvolatility and so on, but ultimately, the microscopic economic subjects pursuitof the stockholder’s rights maximization in economic operation. How to puttheoretical model include a number of complex variables into practice so as totest its merits, is an academic problem.The paper first uses the endogenous structure credit risks model, integratesuse of maximum likelihood method, extracts the value of asset through the marketvalue of equity and then estimates the expected default probability of listed companies,makes a good attempt on the problem that the value of assets and liabilities are difficultto observed and measured in the model. With the actual situation of our countrycapital market, the paper gives the set methods of other specific parameters in the model, screens certain listed companies, including special treatment samplecompanies and rating sample companies, and then uses actual data of the year2008-2009to measure default risk, makes a comprehensive estimate of its creditby the expected default rate.The paper measures the bank credit risks uses the structural model likeMerton model and LT model. In addition to the breach of listed companieswould cause losses to banks, the banks themselves will be the case of default,thereby creating the risk of default. As banks of our country were listedrelatively late, the sample was relatively low, so when using either model, weuse volatility restricted method to estimate the value of bank assets and theterms of the volatility, other parameters also are accord with the relevantprovisions of China’s banking industry. Taken the changes of macroeconomicsituation and the trend the stock market into consideration, we select actual dataof the year2008-2009to do empirical analysis, one hand, trying to findadvantage and disadvantage among different models, on the other hand, hopingto measure default risk of commercial banks more accurately.Both for listed companies and listed banks, a breach of one individual isbound to other individuals, so default correlation does exist from a practicalpoint of view. That is to say systemic risk does exist in the entire financialsystem. On the basis of measurement the default risk of listed companies andlisted banks, this article further studies default correlation. According to dataavailability, by introduction of COPULA function, we investigate the defaultcorrelation between different economic agents through correlation betweenequity returns. The steps followed by studying assets correlation between onesingle bank and the entire banking industry; assets correlation of single bank;assets correlation of financial industry and other industries.Merton model was extended by introducing of CEV model in this paper, thesystemic risk of bank default performance of the extended features of jump. Atthe same time, consider the inter-bank market structure, this paper constructsbanking system default risk factor (probability) function by introduction ofclearing payment vector factor, and proposes a new theoretical method ofquantitative management in systemic risk and finally proposes thecorresponding countermeasures of guarding default risks. To sum up, this paper carries on the comprehensive measure to default riskof listed companies and listed banks of our country based on the classicalstructural default risk model——Merton model, as well as the endogenousstructure credit risks model which was developed rapidly recently——LTmodel，and then constructs banking system default risk probability function. Theresults of this paper has an important academic value and practical significancein the aspect of advancing our theoretical models of credit risk research andmaking empirical study combining theoretical models of credit risk with theactual data of our country, as well as enhancing the level of financialsupervision.