| Credit risk is the risk that the debtor may default in the financial transaction, It is one of the most important problems to financial institutions and Banking. In the late 1990s, the Asian financial crisis broke out and the subprime crisis contiues spreaded to other areas in Augest 2007, the Credit risk contagion has attracted widely attentions from financial institutions and regulatory departments. On the basis of previous researches, the paper measures the credit risk of the listed companies in China, then uses the association rules mining to discusse roundly causality links of credit risk contagion among listed companies in China, and then in terms of the empirical results, some constructive comments have been put forward towards chinese credit risk management, which were applied to advancing proper foundation of credit risk management and evaluation in China.Fisrt of all, the thesis reviewed basic theories of credit risk, credit contagion and credit risk management. It had appraised detailedly modern credit risk measurement model and compared and analyzed four modern measurement models of credit risk. The results of the analysis show that KMV model fits in well with utilization in China. Then according to empirical research of credit risk of listed companies, it indicated the conclusion that KMV model could identify the credit risk of listed companies timely. At last, the thesis utilized association rules mining method to research on credit risk contagion among listed companies, and to make sure that investors can adjust their investment strategy timely, so that they could avoid influences from aggravating credit risk situations of related enterpriseres. These are economic significance in the paper as well.In a word, the thesis revealed that KMV model could measure the credit risk of listed companies better, and association rules is able to mining the listed companies that exist credit risk contagion effectively. |
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