Study Of Credit Ratings Based On The Probability Of Default's Measurement

Credit ratings corresponding to the economic capacity and compact credibility of a comprehensive analysis and measurement, is the main market participation of the various debt can take full, on time debt-servicing capacity and confidential assessment of the extent and the results of the assessment in accordance with the different degree of risk, divided into several levels, using a series of symbols to indicate the different levels of credit risk. The ratings on the international market more than 100 years of experience indicates that, after assessing the level of professional staff with the bond rating of the existence of a clear correspondence between the probability of default(PD), which is the soul of credit rating.PD is an important indicators of credit rating. In view of this, in this paper we will study PD. There are four typical credit risk models in the world at present: Altman created Z-Score credit risk assessment models in 1968, KMV company's KMV credit risk models, J.P. Morgan created CreditMetrics credit risk assessment models and neural network models, the KMV model is based on the dynamics of options pricing models and forward-looking, many countries which use this calculations to assess the credit risk of listed companies have been good results. Therefore, the author selected 60 listed companies as the samples, through simple empirical analysis found that the model calculated PD and listed companies relative to the actual situation can be more objectively reflect default risk faced by...