The Study Of Credit Risk Identification To The Listed Company In China

The subprime mortgage crisis happening in America in September 2008 damaged the economic operation all over the world.The credit risk is one of the most important factors that caused this crisis. After the financial crisis in 2008,the Basel committee launched basel accord III. basel accordⅢset the more stringent requirements on bank's capital and liquidity.CBRC announced that basel accord III would not be implemented fully now,but it is essential that strengthening credit risk management guided by basel accord III to promote our commercial banks towards the world and improve its international competitiveness.Our commercial banks obtain some achievements on credit risk management,but it has a gap with the advanced country.So the transformation of our commercial banks'management mode is hampered.it doesn't conform the trend that the risk management of modern bank develop. Credit risk management is the entire process that involves continuous identifying, measuring, controlling, managing of credit risk and adjusting.Among them, credit risk identification and evaluation is the most important content in the process. Therefore this paper research scope is credit risk identification.The credit risk identification model of domestic and foreign research is diverse.However,all models have their unique advantage as well as their limitations inevitably.Therefore,in this paper,I will use the logistic model based on financial indicators and KMV model according to the actual situation and related application of models.Then,I will put DD(Default Distance) worked out by KMV model into the logistic model based on financial indicators to improve the logistic model and its prediction ability.In empirical part,this paper choose the listed companies in China as sample.The ST(Special Treatment) company stands for the default company.The not ST company stands for the not default company.Firstly,I determine the financial indicators as explanatory variables by relevant financial theory and statistical method. Secondly,I will establish models and estimate related parameters.Thirdly,I will compare the prediction ability of three models that are the logistic model based on financial indicators, KMV model and the improvement of the logistic model respectively under the different risk preference.Eventually,I conclude that the ability for credit risk identification of the improvement of the logistic model is the best one,compare with the logistic model based on financial indicators and KMV model and is stable relatively under the different risk preference.There are mainly two innovations.The one is comparing the logistic model based on financial indicators with KMV model and combining the two models to improve the ability for credit risk identification.The other one is comparing the ability for credit risk identification of each model under the different risk preference in order to fully explain the improvement of the ability for credit risk identification of the last model.