The Study Of Credict Risk Of Different Insdustries Listed Company

Study on the credit risk of listed companies has been a hot topic of research scholars at our country and abroad, and the credit risk has been the major risks faced by the commercial banks in China, and how to strengthen credit risk management of commercial banks in the increasingly complex domestic and international financial, economic, environmental, maintenance of our sustained, healthy and stable economic development is increasingly important.Since the1980s, the world has a European currency crisis, the Mexican financial crisis, the financial crisis in Argentina, Brazil, the financial crisis, the Asian financial crisis and the subprime mortgage crisis. The occurrence of the financial crisis has exposed serious problems that exist in the credit risk management of commercial banks, and the facts tell the credit risk management of commercial banks is not just affecting the normal operation and development of the bank, more about macroeconomic normal, healthy operation social problems, even when serious problems occur when the credit risk management of the debt crisis in Greece is an indisputable example. Can be out of control of the bank’s credit risk management is fundamental to the financial crisis, although the financial crisis has left us, but the credit risk of listed company in the wake of the crisis has once again aroused the attention of the government and the public, strengthen credit risk management of commercial banks and thus avoid a credit crisis, the banking crisis, the economic crisis generated is called a top priority of the national regulatory authorities.This paper to draw the lessons of the foreign banks in the financial crisis, combined with China’s actual conditions, the credit risk of listed companies of different industries in China, the study not only advance to avoid the risk of customers within the industry, the credit risk of listed companies of different industries, grasp of the business and enterprise long-term trends, and can have different credit policies conducive to commercial banks based on the difference between different sectors of the credit default specified different focus and methods of credit analysis and risk aversion measures can be imposed on different sectors of the commercial banks, commercial banks to determine corporate strategy groups in different industries to maximize risk-averse, to achieve the purpose of strengthening credit risk management of commercial banks, while the bank’ s profit maximization.Article scholars of the credit risk of listed companies, as well as a large number of scholars on the study of the actual conditions in China, found that in a large number of research methods, KMV method is more in line with China’s national conditions, the KMV method it is referenced this article measuring the credit risk of listed companies the method and the traditional model of KMV method to calculate the value of equity volatility has been improved to make it more in line with the characteristics of China’s stock market stock returns data.The empirical part of the selected source materials industry in the Shanghai Stock Exchange-GICS industry classification, medicine and health, industrial, the optional five consumer and financial and real estate industries, each industry selected the ten listed companies listed on the Shanghai Stock Exchange, which five conventional listed companies and five ST listed company, the focus of this article is a comparative study of the credit risk of listed companies of different industries, so select only the2011data. Credit risk measurement:First, the selected samples sequentially calculate the company equity market value; estimated equity value volatility GARCH-M model; with the fsolve function estimated in Matlab software company’s market value and assets of the company value volatility; calculated the distance to default the probability of default. Then mean using SPSS software paired samples T-test carried out a comparative study of the credit risk of listed companies of different industries:are listed state listed company credit risk comparison and listed companies of different industries credit risk compared. The results show that the conventional public company listed on the credit risk than small the ST company credit risk, industry risk from small to large arrangement for the industrial and consumer discretionary, medicine Health and source material, financial and real estate industry.