| From the end of last century, with the rapid development of finance integration, the financial risks of different forms become more difficult to measure and prevent. It is seriously influencing the health and security of financial industry. Correlated default, which is derived mainly from the assets correlation between enterprises, is one of the typical form among financial risks. Because the domestic data on default risk is very difficult to obtain, it is hard to measure the default correlation accurately. This will enhance the difficulty in risk management for domestic commercial bank.Therefore, in this article we carried on special research on the measurement of default correlation. We got around the obstacle which is due to scarce data on default risk and, from this starting point, chose copula approach to study in the paper. We chose the tail dependence coefficient (TDC) as an indicator of default correlation and sampled the stock returns of domestic corporation to estimate it. Thus we found a makeshift that we measure default correlation with market risk data under the present condition. We summarized the relevant researches on default correlation and appraised them combining the domestic reality. We introduced the theory and application of copula approach and showed the general process on modeling financial risks. We improved the method of measurement on default correlation and solved the difficult problem derived from the scarcity of domestic data on default risk indirectly. We carried on empirical analysis with the domestic corporation of different credit rates and confirmed the method and view in the paper. We summarized gain and loss and point out the direction for the following research.The conclusion of the paper is: Under the present condition that there isn't enough data on default risk, we can utilize the market risk data, especially the stock returns as a substitution to estimate the TDC between enterprises and reflect the default correlation of them to some extent.
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