Empirical Study Of The Credit Risk Measurement On China's Listed Companies

The subprime mortgage financial crisis firstly started in the subprime mortgage market in the United States then became a global financial crisis in July 2007,and still has a strong impact globally.It made huge economic loss to the United States and the globally economic.For that,How to control and get an accurate estimation of the credit risk plays a key role in the decision making of financial intermediaries. investors and government supervisor.So It becomes an important task of our country's financial system to establish the credit risk models which will suitable for itself by referencing and studying the advanced credit risk measurement methods from other countries under this international finance background,this paper decides to select the credit risk of China's listed companies as its research subject.This paper took an approach by combining theoretical analysis with empirical study.The main works focuses on two aspects.Firstly,analyzing KMV default model how to use to measure the credit risk of listed companies in today's China. Secondly,setting up a financial ratios system for the Logistic Regression model then founding the Regression model which fits to measure the credit risk of China's listed companies.In this paper,the KMV model with adjusted methods of assessing equity value and default point is reconstructed by taking into consideration the particularity of company's equity structures and market circumstance of China stock market.Then, we use KMV model to evaluate the credit risk of 20 ST(Special Treatment)and 20 Non-ST companies in china pubic market in order to test its ability to recognize the credit risk and analyze their difference.Results indicate that reform of the shareholder structure of listed companies made equity value of listed companies falsely increase and made the Effectiveness of the application of the KMV model partly decrease.Furthermore,the ability is the strongest when the default is equal to the current liabilities surplus a quarter long liabilities.But the Logistic Regression model which depended on the corporate financial information got a high discriminating ratio for the testing samples which consisted of 40 listed companies. Results also showed,the ability of solvency.management and profit were the key factors which led to the credit crisis of China's listed companies,therefore improving the level of the ability of management and profit would avoid the corporation getting into default.