Discriminant Analysis Applied To Credit Risk Measurement Of Publicly Listed Companies

The credit risks usually have another name called the default risk , mean that debtor , securities publisher or the other side of trade are unwilling or unable to fulfill the terms of the contract and form breaking a contract because of various reasons. Theses will cause bank , investor or the other side of trade to suffer lost; More generally, credit risks include because of change of credit rating of debtor and honor an agreement change of ability cause market value change of debt their and cause loss also possibility. The credit risks are the oldest financial risks, it is financial institution and most important financial risks that the government face, such as enterprise owner and manager , investor , commercial bank, etc. too. So, tolerance of the credit risks has all been key subjects that these organizations face all the time. This text is devoted to the tolerance of quantization of the credit risks of listed company of our country, thus settle solid foundation for establishing the system of credit in our country.After the eighties of the 20th century, the development of the credit market and the changes of the credit risks make the tolerance of risk and management research field begin to present a lot of new quantization analytical method and tolerance Model. By the look of research current situation of foreign countries, quantization measure and use quantization not to measure model mode to manage credit risks acknowledge generally already, academia and financial circle develop a series of technology and method with can attempt tolerance accurate and manage credit risks already too. Watch from what publish already at home issue already about enterprise and financial institution credit risks work and thesis of tolerance, there is still few quantitative analysis that involves, have not seen two kinds of latest methods to measure the credit risks yet up until now --The reasoning analytic approach of the option and application in the real example of VaR method. And make from assets up angle is it measure to go on to credit risks and research of management see.The rate of violation , retrieving rate and the dependence in breach is three main parameters of using the modern model to measure the credit risks, among them the rate of violation is the keys of these parameters and starting point. The financial market of our country and credit system are still at the new stage of going through transition and developing, credit risks administrative skill relatively backward, relevant credit risks assess applied less likely achievement that study, there are no enough sufficient data as the foundation of structuring the modern model. The results of study of Altman ,etc. (1997 ) indicate , ZETA model has made quite good result in developing countries , such as Mexico ,etc. Therefore, it accords with our country's conditions even more to use ZETA model to measure the credit risks of listed company. Because of the reason of the intellectual property right, details of ZETA model have not been totally disclosed. So, the simulation ZETA model method of this text, adopt plural discrimination to analyse that assess the credit risks of the listed company. In addition, we can also use Bayes to differentiate analysing to predict to the thing that the listed company break a contract , thus realize the tolerance of substitution to the rate of violation, this generally use the realistic meaning undoubtedly with importance to modern models in our country. In our country, because of the influence of the factors of various fields, a lot of enterprises in bankrupt state are unable to be bankrupt according to the set procedure , but afford to struggle still, so this text implement into " ST " as the standard of breaking a contract with company. " ST deal with especially (Special Treatment) ", list with is it list first kind during especially deal with the measure to delaying normally in Limited Company. As one securities market surpervision means, " ST " system apply to stock market of our country begin with 1998 formally. On March 16 , 1998...