A Research On Listed Companies' Credit Risk Evaluation In China Mainland

Credit risk evaluation is an important field in Finance. Researches concerning listed companies'credit risk evaluation have a long history outside China, and the basic models used are classic credit risk analysis, multilateral statistics models, credit risk evaluation models based on artificial intelligence and temporary credit risk evaluation models based on market value or expected default probability. However, credit risk evaluation techniques in our country are still within the passage of classic ratio analysis. Researches on listed companies'credit risk have just begun. So it is an urgent problem to make accurate predictions and evaluations of listed companies'credit risk concerning Chinese reality.Chinese security market is a big and complex market. It is significant not only for Chinese Securities Regulatory Commission, Shanghai Stock Exchange and Shenzhen Stock Exchange as supervisors, but also for listed companies themselves, obliges and mass investors to construct a scientific system to evaluate listed companies'credit condition. The key aim of the paper is to find a suitable way to predict listed companies'credit risk so as to find out the companies which have entered into the dangerous situation that will lead to credit crisis.The paper analyzes the causes of listed companies'credit risk, takes Chinese mainland listed companies as research objects, and regards special treatment as a signal of credit crisis. It chooses variables with independent sample t test,and takes component analysis based on the chosen variables, then makes credit risk predictions and assessments using discriminate analysis model and logistic model. It also classfies listed companies'credit risk condition with grey cluster method. The paper also uses corporate financial static data and dynamic data of stock market, takes a prediction research with the method based on the option theory, and compares the result of predictions. The research finds the profitability and credit condition component last year and the profitability component the year before last have a significantly discriminate ability for discriminate analysis model and Logistic model. By comparison, logistic model is better than discriminate analysis model on prediction power. Grey cluster method can classfy listed companies'credit risk condition with only a few data, and the correction ratio is high. The method based on the option theory overcomes the shortcomings of the available statistics methods, takes classic Merton model as the...