Study On The Credit Risk Measurement Models Of Listed Companies In China

The credit risk is one of the major risks with which each economic body confronted in social economic activities. Under the economic system peculiar to our country, the credit risk of loan business appears more prominent with regard to our country's commercial banks, in which loan business takes the absolutely dominant place of all the asset business. And it is very necessary to measure and manage the credit risk of the listed companies, which are the most important client of our country's commercial banks.Starting from the concept of credit and the basic theory of credit risk management, this dissertation introduces the major models and methods of credit risk measurement at first, and in combination of our country's practices, this dissertation then researches the theoretical basis, structure of the models, parameter estimation, and the existent problems of the Logistic model and the KMV model which adapt to the credit risk measurement and management to the listed companies of our country in detail, and then gives a reasonable evaluation and analysis on the applicability to our country of these two models at the same time. In addition, based on the above-mentioned research, and considering the actuality of our country, this dissertation subsequently makes some suggestions and measures about how to use KMV model to improve the management level of credit risks in our country's commercial banks.