Research On The Credit Risk Management Of Receivables Based On Credit Metrics Model

Along with the continuous improvement of the market economy and competition in the market, credit sales in products sales of enterprise play an increasingly important role. Credit sales, on one hand have strengthened the competitiveness of the enterprise's ability to sell and on the other hand, it brings more credit risk to the enterprise. So the requirement of more accurate credit risk management arises.Domestic large companies have began their research on dealing with receivables using models, constantly improvement of accounting principle also show some direction of credit risk management of receivables, the exchange of a understanding of credit risk management of receivables with a CFO of a big company gives the author the initial inspiration, and in this article firstly proposed the idea of using Credit Metrics model to solve the problem of credit risk management of enterprise's receivables.This article mainly contains the following:first part is a brief introduction of credit risk management and receivables management, and it describes the definition for credit risk management, introduces credit risk assessment for traditional methods and modern methods.Second part is the third chapter, in this part the concept of receivables and causes of the cost of Receivables held by an enterprise are introduced, on this basis, the author summarizes the impact of receivables credit risk factors.Part 3 is the fourth main chapter, it is an introduction to Credit Metrics model, in this section, author mainly introduces the fundamental ideological and theoretical basis of the model, model input parameters, and simple calculation of credit risk in Credit Metrics model is presented.Part 4 includes the fifth and sixth chapters; this section is the core part of this article. Chapter 5 explores how to satisfy the company's needs using Credit Metrics model, for enterprises how to establish the internal debt credit rating system and how to confirm Credit Metrics model parameters.The sixth chapter is the empirical part, because it has not been a company adopts this method performs the actual operations, virtual company x is set as a research subject of this article. Credit Metrics model has been used in company X to solve the problem of the management of receivables,the author analysis ten years history data is studied to form a credit transform metrics, and then other parameters are contained,at the end,using the model to calculate the CVAR of the company X under a confidence intervals.Last part of this article is the seventh chapter, it summarize the strengths and weaknesses of using Credit Metrics in credit risk management of enterprise receivables, and also gives some suggestion.Theoretical analysis and empirical analysis of this paper demonstrate the feasibility of interoperability of application of Credit Metrics model in credit risk management of receivable in enterprises.Comparison and analysis of the guidelines, choice of the rating indicator, and the weight set, actual construction of the credit rating transition matrix is the essence of this article.At the same time, it's not perfect yet,100 financial statements are not enough to form a credit transform metrics, so the author gives some suggestion on this. Historical data of the credit rating transition matrix is slightly less in the empirical research so the possibility of situation of credit level stay unchanged is relatively low, that is because the credit transfer happens more relatively, in the final calculation of standard deviation, the difference of standard deviation is a little larger,, more historical data of the reference will perfectly remedy those defects.