Research Of The Credit Risk Measuring Models For Chinese 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 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.The paper analyze the concept of credit risk, focusing on credit risk measurement 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 credit risk measurement methods;Then focus on the modern credit risk measurement model. The article focused on the theoretical basis and the applicability of the study. On the basis,according to the default condition in Chinese listed company, this paper introduces the concept of default risk into research on credit risk of listed company and consequently achieves a default probability credit monitoring model of listed company,which is so far an innovative idea. Volatility of stock return of listed company can be estimated through GARCH-M model, so the default probability of listed company can be attained by employing the evaluating model in this paper. Thus the default probability credit monitoring model of listed company can be a default risk early warning system for listed company. To sum up, according to the default probability credit monitoring model of listed company,some significant and valuable conclusions have been achieved by empirically investigating into credit risk of the listed company in Chinese security market from their default risk.