The Quantitabive Mesurement Model Of Credit Risk And Positive Reserch

Credit risk has been one of the most important risks in financial market, which mainly exhibits in the huge uncertainty triggered by the sudden expansion of global debt, the commercial bank on the edge of danger as the main credit entity and the rapid expansion of the financial derivatives' trade. Furthermore, with the continuous increasing of new debt-issuers and the continuous emerging of new financial products, the whole-society's credit risk has been increased. So the credit risk management becomes more and more important, then to analyze and measure the credit risk becomes more and more urgent, too.The research expounds the implication, the theory and the quantitative-measuring model of credit risk. Then according to the data of bonds traded in ShangHai Stock Exchange on 30 September 2004, estimates the default probability of corporate bonds traded in ShangHai Stock Exchange by using the reduced-form approach. The research shows: (1) the default probability of corporate bonds is increasing in maturity. First it increases slowly(1-6), then it increases quickly(6-15), finally the default probability has a tendency to decline(15-20); (2) The default probability of corporate bonds rated AAA are obviously bigger. From the research, we can derive that the treasury bonds' market develops mature, its market level is very highly, but the corporate bonds' market develops slowly and its market level is quite low. The measurement of default probability establishes the fundaments for the corporate assets pricing and credit risk managing.The measurement of default probability is the core of assets pricing and risk managing, it is very important and quite difficult, especially at the present that the bonds market is not mature in China. Accurately analyzing and measuring credit risk is so hard and full of challenge, in the mean time, because of limited capacity, some chapters' analysis is merely experimental and exploring, the study result needs to be verified by the practice and to be further revised.