Research On Credit Risk Model Of Listed Companies

Today's business competition is so fierce in China. The listed companies of China most have high rates of assets and liabilities .On one hand, the use of financial leverage is effective, on the other hand, More important is that companies are in the face of huge debt crisis, while loaning banks face considerable credit risk corresponding, once the debt enterprises can not payoff on time, The consequences would be unthinkable. We should always concern about debt enterprises, especially listed companies credit, so abroad countries made new methods and models to monitor the financial condition and predict credit risk since World War II, from qualitative models to quantitative ones, from single factor to composite variables, from the traditional calculation to the financial mathematical methods. With the development of the times, the economic situation changes, models go step by step toward precise, becoming more rational and objective reality. But in China, credit risk prediction is not well done. Due to long-term carelessness about the credit risk, the credit risk prediction models are in the lack of progress, some banks now not have loan limit at all, some ones use the credit rating method. With the integration of the world economy and increasing credit risk, these methods can not guard against and defuse the crisis effectively. We would strengthen our credit risk control to achieve international standards. Therefore, the research on credit risks warning model of listed company have both theory value and practical significance.Chapter II of the papers first define the credit risk and analysis the theoretical basis of credit risk. Then introduce variety of credit risk methods and evaluate them. Meanwhile pointing out that because our credit risk management started late relatively, there is lack of default database, the overall level of credit rating agencies is not high. We can not establish credit transfer matrix. China do not exist a genuine free effective market, thereby failing to meet the Poisson distribution, while China is just emerging weak effective market, in the present situation, the most effective model in keeping with China's actual situations is KMV model. Then in Chapter III the papers introduce KMV model's principle and analyze the existing problems in china, and reasons of Amendment. The fourth chapter for this paper attempts to construct suitable for China's national conditions credit risk model. In this paper, we collected nearly 460 enterprises by using matched samples method to demonstrate. We concluded that KMV model can distinguish between non-ST companies and ST companies. ST company's default distance are on average less than non-ST company's ones, from the graphics quality can be found that the large companies' default distance is greater than the inferior ST companies' ones, this unanimous and common sense reveal the Practicality of the model. Meanwhile the new model is compared to the old one. the new model' accuracy is that in the Modeling samples the 129 ST companies is 72.09% and the non-ST 129 companies is 72.39% . in the tested samples the ST 100 companies is 86% and non-ST 100 companies is 77%.Under the new model, most non-ST companies' distance are greater than zero, most of ST companies' default are less than zero, but under the old model almost all the company's default distance are greater than zero, therefore the new model is better than the old model in predicting. At last, this paper point out the lack of study and further direction.