| With financial globalization and financial derivatives diverse and complex, Credit risk of financial institutions has become an important part of the financial risk of research. Enterprises continue to need to loan to expand reproduction scale in order to continue to develop and grow in the fierce market competition. It presents to business loans bank made a specific request:how to determine whether an enterprise has the ability to payment during prescribed period? Therefore an effective financial credit risk measurement tool is needed urgently. Along with the deepening of the study, coherent risk measure became one of main research methods.In this paper, we use a coherent risk measure-ES-to study on listed companies'credit risk. According to models in this paper, the company's asset value and volatility is a solution of nonlinear equations. After the company's value and volatility of the assets of calculated, we can get distribution of future value of the assets of the company, and then apply Richardson extrapolation method to estimate the value of ES. Then compared to firms'repayment capability indicators, we can draw a conclusion that ES can response a company's actual behavior and decision-making in the financial market. It is undoubted that ES method is valid. The main works of this paper are as follows:1. a summary of the various existing financial risk measurement method:such as VaR, variance, ES risk measurement methods were compared from the definition nature, calculation method and so on, an evaluation of the advantages and disadvantages to them, in particular leads to a series of new properties about VaR and ES, and proving the consistency of the ES.2. Through the KMV model, we can calculate the company's asset value and volatility, estimate the value of ES based on Richardson extrapolation method, and draw the conclusion that ES can effectively measure credit risk of the loan company by compared the value with the company's repayment capability indicators. |
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