A Research On Credit Risk Measurement Of The Listed Companies

Credit risk is caused by the uncertainty when people are doing credit activities. Since 1990s, with the changes in financial market conditions and the development of financial innovation product, the exposure of credit risk becomes more and more serious. As far as China is concerned, our economy restructuring has been speeded up. However, credit deficiencies continue prevalence in China. Now the key financial method in our finance system is indirect finance, which means to fund with the bank loans as the leading channel. It determines the credit risk as the main style of existence of our finance risk. Therefore, it is an important task for China's financing to efficiently manage credit risk. With the above background, this paper takes the listed companies as the research object and decides to do some related research on the measurement of credit risk.At present, some modern credit risk measurement models can't be applied in China due to lagging estimate system of credit risk and undeveloped level of risk management. Nevertheless, after twenty years China's securities development, our stock equity trading system has been established. So the stock market can be considered as a large mechanism to evaluate listed companies. Based on data information in the stock market, KMV model is quite suited to be applied in China.This paper consists of theoretical analysis and empirical research. In the section of theory analysis, firstly, it concisely expatiates the background, the significance of this paper and related study at home and abroad.Secondly, it mainly introduce the definition, the characteristic of credit risk and the basic principle of modern credit risk measurement models. Finally, it puts emphasis on illustrating the basic principle and calculated steps of the KMV model and how to modify KMV model parameters. In the section of empirical research, it is from two points of view. One is transverse analysis. It is to test whether the modified KMV model can efficiently distinguish Special Treatment Company from not Special Treatment Company. The other is longitudinal analysis. It is to test whether modified KMV model can better predict the variation state of the credit risk for the listed company in China. According to the empirical study of a sample of 30 listed companies in Shanghai and Shenzhen stock market, we draw a satisfactory conclusion that the modified KMV model can be used to measure the listed company's credit risk quite well. There are two new ideas I proposed in this paper. One is to modify KMV model parameters. Such as choosing default point, estimating the fluctuation ratio of the stock by GARCH model and assuming the expected value of the listed company's asset. To modify all these parameters in an empirical research is different from the past related study. The other is to process sample data. It's difficult to catch the default risk caused by sharp fluctuation of the stock price in a short time. Because there is a rule that the rise and fall range of the stock price is confined within 10% every trading day in China. We attempt to calculate the distance to default for every week but not for every day as the usual way.