On Credit Risk Quantitative Measurement Of The Listed Companies In China

In traditional model of default it is implicitly assumed that the information is complete. In reality, the condition of the market is not adapted to this assumption. I~2 model has relaxed the traditional assumption of the complete information, improves the credit risk prediction ability, in the same time it make the credit risk model more accord with the economy. In this paper based on using the methods of the comparing and demonstration, we compare the I~2 model to the traditional models. In the same time, we also study the applicability of I~2 model in our securities market. The studyindicates: (1)the I~2 model reacts earlier and quickly than the traditional models;(2) I~2 model has the ability to distinguish and to make the class the credit quality of the company; (3) I~2 model has the obviously relativity to the ability of the payoffreimburse and leverage. In the end, under the result of empirical study and considering the national conditions of China, and the paper point out that the I~2 model has a good future in china.