The Research On Default Probabilities Of Listed Companies Based On Ⅰ~2 Model

Credit risk always be the main risk the banks faced. It has a direct impact on all aspects of social and economic life, and also impacts on the macro-economic policy-making and economic development. Accodring to the Basel New Accord, default risk is an important factor of credit risk. So it is the foundation of credit risk management to measure default probability. Researching on the probability of default is meaningful for credit risk management. Due to its dominant function and easy to get data, the listed companies have been chosen as studying objects.In this paper, the research content is the measure of default probability. The purpose of the article is to explore the latest research of credit risk measurement model , to explore its applicability in China, and giving reference to the Chinese commercial banks for measure against credit risk, improving the level of credit risk management.This article selected to 75 ST listed companies in 2007-2009 and 75 non-ST listed company. We use I~2 model to estimate these companies'forecast default rate in next year with these companies'stock market data and financial data in the previous year. Then the paper discussed I~2 model's identification and predictive ability in the credit risk of listed companies. And compared the result with the Merton model. In this paper, we use the I~2 model to estimate the listed companies'probability of default in Shanghai and Shenzhen in 2009. The main conclusions are: The theoretical probability of default which estimated by I~2 model is higher than the Merton model estimated;I~2 model to calculate the theoretical probability of default has good recognition ability and predictive ability;Compared with the Merton model, I~2 model has higher accuracy of predicted results;The overall credit risk of listed companies in China are relatively large in 2009;The risk of default is quite different in different sectors of industry;I~2 model has a high maneuverability;Application of the I~2 model need to accumulate sufficient PD, LGD, and other historical data,and need to improve the capital market, and the non-financial information disclosure system of listed companies.