The Empirical Research Of Credit Risk Management About Chinese Listed Company

In our country, there has been the adage that "we will build our defenses beyond challenge". Many international financial institutions take the management of credit risk as the important tool that insures them survival and develop in the complex circumstances. Establishing the predict model will be helpful to the decision maker, and they can make decision base the objective date to. The biggest risk that financial institution faced is the credit risk, and how to improve the management level of credit risk has become the urgent task for the financial institution since we have become the member of WTO.This paper reviews the development and general methods of credit rating briefly but systematically, and analyses the prevailing credit models such as CreditMetrics, CreditRisk+, and CreditPortfolioView in detail. It discusses the use of the Option Pricing Theory to measure credit risk and then researches the frame, the parameter estimation of KMV model. This paper proposes using the GARCH methods to estimate and making use of the BSM model and the relation function between and which is publicized in the Demo of KMV to estimate and , then deducing the Expected Default Frequency (EDF). Finally it does some correlative demonstration and paralleling research using the date of Chinese stock market.KMV model has its special significance in Chinese market shorting of data. This paper proposes the deducing procedure of EDF and relating resolve methods on the basis of the researching result of former, and does some empirical research in the listed companies of China. This research gives a new way of conceptualizing and the method for the application of Option Pricing Theory to measure credit risk and a new framework.