Listed Companies In China Credit Risk Measurement

Credit risk is one of the main risks in the financial market. For the same purpose of expansion, more and more companies go to public to finance with the prosperity of the stock market. The credit problem also stands out along with the development of the stock market. The abnormity even deterioration of the listed companies will bring in great loss to investors and creditors, so it is practically meaningful to identify listed companies' potential credit risk in advance and correctly measure it so that investors and creditors can take relative measurements to evade credit risk in time.The topic of this paper is measure the listed companies' credit risk. First, this paper makes a general analysis on the credit risk, the focus is the credit risk's source and characteristics of china's listed companies. Second, this paper gives a brief overview of the credit risk measurement method which are extensively used all over the world, then analyzes four famous modern credit risk measurement method in the world by comparison. It also discusses the applicability of the four method for china with the Conclusion that the revised KMV method can be used in china's market, but the other three methods don't applied to china because of the shortage of condition. At last this paper makes a empiricial analysis to the credit risk of china's listed companies with the KMV method and Logistic method respectively. Through analysis we find that: both of the KMV method and the Logistic method can relatively accurately forecast the credit fluctuation situation of china's listed companies two years ahead of schedule, both of them are Suitable for measuring the credit risk of china's listed companies. By comparision, The Logistic method has the higher forecast accuracy, so the method is more suitable for china's market presently. But in the long term, the KMV method will be more suitable for china's market because of its timely reflection to Capital market volatility.Measuring credit risk is a very complex process, china has a very long distance with developed countries in measuring credit risk, we need to do more work.