Credit Risk Measuring Models Of The Listed Companies

With the rapid growth of credit in today' s global economy, problems related to credit risk have attracted much attention. Credit risk has become one of the important risks which financial institutions have to face. For that, How to control and get an accurate estimation of 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 credit risk models which will suitable for itself by referencing and studying the advanced credit risk measuring methods from other countries. Under this international finance background, this paper decides to select credit risk of China' s listed companies as its research subject.The paper analyze the concept and the characteristics of credit risk, focusing on credit risk measuring methods. The end is to find suitable model for China' s listed companies credit risk measurement, thereby enhancing our credit risk management capabilities. First, a brief account of the traditional"5C"Experts law, credit score and credit rating of traditional credit risk measurement methods; Then focus on the modern credit risk measurement model, J.P. Morgan Credit Metrics, KMV model researched and developed by KMV company, CreditRisk+ model, there Credit Portfolio view model. The paper focus on the theoretical basis and the adaptability of the study in China. On the basis, according to the default condition in Chinese listed companies, the paper introduces factor analysis combined with Logit regressions analysis into research on credit risk of listed company , pick out financing indices that showing us the credit risk value. Then select china' listed companies correlative data, uses the factor analysis to abstract all kinds of factors separately. It developed credible and effective China' listed companies credit risk financial factors, enriched the relevant researching theory over credit risk measurement. We have formed our listed companies' credit risk default discrimination model. This model follows Logit theoretic model. So the default probability of listed company can be attained by employing the discrimination model in this paper. Thus the model can be a default risk early warning system for listed company. Finally, some significant and valuable conclusions have been achieved by empirically investigating into credit risk of listed companies in Chinese security market from their default risk.