Assessment On The Credit Risk Of Shenzhen Small And Medium Listed Companies

Since the late 20th century,the acute change of the global financial market led to increased the incidence of financial crises. The credit risk that the debt crisis has led to has brought huge losses to the global banking industry. Credit risk is one of the oldest bank risks.In Basel New Capital Accord,credit risk,market risk and operational risk are the three main risks that commercial banks face.In China, business loans are one of the main businesses in commercial banks, and also constitute a major part to bank's assets.As China's economics and capital markets are improving,there will be more and more listed companies.They have made important contributions to the development of China's national economy. Listed companies has become the main target of bank loans.It is of an important significance for commercial banks,regulators, policy departments and investors to enhance credit risk management on listed companies.In particular,SME board which is launched in 2004 is playing an increasingly important role in sustaining healthy development,promoting technological innovation and increasing employment opportunities in all aspects of maintaining social stability.At first, the papers analysis and research on the study background, significance and current status of domestic, and then define the credit risk theoretically and describe the characteristics that credit risk exists. Small boards of listed companies have vast credit risk due to their own characteristics. After describing all kinds of credit risk assessment methods and existing commercial banking assessment system, the author select one of the most popular international credit risk measurement models-KMV model to do empirical research on 30 listed companies of small and medium plate in Shenzhen. In this study, this article revised the original calculating the expected default rates and solves the Default Distance and Expected Default Frequency in accordance with the adjustment of the total share capital, the closing price in December 31,2008 and the financial and other data in 2008. In order to make empirical findings more obvious, and distinguish the performance of listed companies of different credit risk differences better, the 30 enterprises were divided into two categories of enterprises according to net profit:profit-making enterprises and the loss-making enterprises to do two independent-samples T test.Finally we can see from the conclusion, on a certain extent:The KMV model can better reflect the performance of China's Shenzhen small and medium panels of different inter-company credit conditions;theoretical expected default frequency can also reflect our medium and small board of listed companies in Shenzhen relatively.