Chinese Listed Companies Credit Risk Assessment Studies

The credit risk of china's listed companies has become very significant, which has been receiving increasing attention from the financial academic and practitioners'world in China. And this thesis has studied the credit risk assessment methods of china's listed companies based on the individual credit risk analysis and the portfolio credit risk analysis respectively.On the individual credit risk analysis, this thesis empirically compares two classical credit risk assessment models, that is, the accounting information-based logit model and the market information-based option-theoretic EDF model on China's listed companies'credit risk; then this thesis discusses the application of new Basel accord's formula in the credit risk assessment of china's listed companies. Finally this thesis has drawn the following conclusions:First, intuitively, the logit model obviously has discriminant power and the EDF model seemingly has certain power too. But statistically, the former manifests significant discriminant power while the latter does not. Second, the above empirical results also show that the EDF model has good performances in such developed countries as the U.S.A., etc, however, it is inappropriate to apply the EDF model in China directly.Third, the empirical formula in the New Accord, which links the corporate default risk with corporate asset return correlation coefficient, cannot capture the credit risk of China's listed companies very well. Therefore, how to utilize the market information to effectively assessment China's listed companies'credit risk needs further study.On the portfolio credit risk analysis, this thesis, based on the credit data's scarcity in China, puts forward a nonparametric method to measure the default correlation coefficients between China's listed companies, and then presented a numerical example to show how to use it in practice. This method's main feature is easy to implement and can utilize the massive stock price data and the rating information provided by professional rating agencies. Due to difficult quantification of the default correlation coefficients between China's listed companies, this method can be considered as a...