The Empirical Research Of Credit Risk Analysis About Chinese Listed Company

The modern economy can be called credits economy in the essence. The credits acts more and more vital role in the modern society life, each aspect of producing. Since 20th century 90's, under the background of the globalization of economy and politics, and the vast change of technology, the credit have been growing by the index way.Along with the rapid development of credit, all kinds of credit risks also bring about people's attention. Listed companies are the cornerstone of the securities market, and its credibility degrees have intimate relation to the succession of securities market. It has been proved by experience that the market economy is law economy as well as credit economy. A mature market requires a developed credit support. Having no complete credit evaluation system, the normal market order cannot be established either. As emerging market economy, it is important to develop the credit evaluation system for the healthy development of the securities market, the management of monitoring sector, the investment decisions of investors and the management of listed companies.This thesis firstly described the primary situation of Chinese capital market and listed companies, summarized the historical evolution of financial credit risk analysis, and analyzed its present situation and the development tendency in succession. Furthermore, this thesis studied two credit risk analysis methods of Multiple Discrimination Analysis methods with emphasis, namely the Z-Score model and the Logit model, which are based on the accountant data, and constructed the frames of these two models on the data of the listed companies in China. When establishing Z-Score models, this thesis seeks to meet the theoretical requirements for the selected samples and variables and to ensure that the sample data consistent with fisher's differentiated analytic approach. And minimized the variance of either group, maximized the variance between the groups , provided the cut-off point of default. When establishing the Logit model, it described the shortcoming of Z-Score models in the fixed effects and linear compensation, then introduced cross terms and other variants having significant impact to the company's credit risk that can not be introduced in Z-Score models. Finally it established Logit models and provided the statistical testing to their parameters estimation. It is found that the Logit model's judgment power is better than Z-Score models. In the last part of this thesis it analyzed the applicability of modern credit risk analysis models in China, include the Z-Score model, Logit model that based on the accountant data, and the KMV model that based on the market data. It pointed out the problems of the credit risk analysis methods in our country, and put forward the policy suggestions.