Structure Of Credit Risk Measurement Model

Credit risk has always been one of the most important risks the financial institutions are confronted with. With the development of the financial market and financial theory, a lot of new methods and models have been designed to measure credit risk by the western financiers, among which the structural model has the profoundest academic background.China's research on modem credit risk measurement models is in the preliminary stage, most literature published on structural models are limited to the introduction of the application aspect, there's lack of systematic and profound study of the basic theory. This paper tries to make further research on the foundation of structural models, and to make complete analysis of the ideal, the approach, the main achievement and the development history of structural models. By focusing on the research of the three typical structural models, this paper aims to summarize the common characteristic and individual characteristic of the structural models. I hope it will help to the further understanding of the structural models, and the discussion on how to design credit risk measurement models suitable for China.The innovation of this paper lies in the fact that it takes convertible bonds into account in structural models, and it analyzes the influence on the credit risk of the firm's debts after the firm's issue of convertible bonds. I put forward my opinion upon this problem, and make strict proof under the framework provided by Ericsson & Reneby. Furthermore, it brings forward an approach to estimate the expected conversion rate of convertible bond and makes an empirical research.In the end, it discusses the applicability of the structural models in China and looks forward its application prospect.