Research In Credit Risk Measurement To Domestic Factoring Without Recourse

With the formation of a buyer’s market, companies have to take the way of credit toexpand sales of shares credit the way, lead to the existence of a large number ofreceivables, in order to make up for the funding gap and accelerate cash flow, corporateurgent need for financial institutions providing financial products against receivables,factoring is developed in this context and is a comprehensive financial services product,which provides the seller of credit investigation, credit risk guarantees, accountsreceivable management.The ongoing the factoring business financial institutions, mainly banks, so thisbank as a factoring business to be discussed, and to carry out the biggest risk is thecredit risk of the factoring business, including the credit risk of the seller and the buyer,the seller and the buyer’s credit risk size directly related to the bank factoring creditrecoverability of non-recourse factoring factoring business is a risk, so banks how toeffectively measure the credit risk of the seller and the buyer is the key to carry out suchoperations. Domestic in terms of credit risk measurement is relatively backward, mainlytraditional qualitative methods, makes it difficult on some high-credit-risk business(such as non-recourse factoring) timely and accurate credit risk measurement KMVmodel is based on the capital a forward-looking model of the market, credit risk earlywarning and dynamic tracking well applied to measure the credit risk of non-recoursefactoring business, so this will be used as a measure of credit issuer credit risk tools.And in factoring business objects, information transparency of listed companies, creditstatus, in line with the non-recourse factoring of the the credit main level requirementsand high, so this will be listed as a goal to carry out non-recourse factoring Objects tobe analyzed.The first non-recourse factoring in the credit risk of the type and characteristics ofthe presentation and analysis, then summarized the theoretical basis of the current creditrisk measurement and model, in contrast the strengths and weaknesses of the model forcredit risk measurement, after discovery KMV model can be applied to non-recoursefactoring business in credit risk measurement characteristics, so non-recourse factoringcredit risk metrics used in the model, at the same time introduced the principle of the theKMV model credit risk measure on how to set some of the parameters are described,followed by an empirical analysis. In the empirical part of the paper is divided into three parts: First, to verify whetherthe KMV model apply to the credit risk measurement of listed companies in China’scapital market. Approach is the choice the ST companies with normal-class companiesin the three sectors of the agricultural machinery industry, chemical industry as twotypes of samples, verified KMV model has a better distinction whether these two typesof samples, the results show that the KMV model can basically to distinguish betweenthese two types of the company’s credit risk profile, the the KMV model used measureof the credit risk of listed companies in China. The second is to validate the industry notin the KMV model default point is different from the value of long-term liabilities,KMV model to be modified according to the industry. In the first part of the empirical,KMV model distinguish the effect of the credit risk of ST and non-ST samplesmachinery industry than ideal for agriculture and the chemical industry, the paper arguesthat this is due to the annual distribution of long-term liabilities have differentcharacteristics in a variety of industries, so needs based on industry characteristics indefault point of the KMV model medium-and long-term liabilities coefficient modifiedthe traditional coefficient is0.5, do mean contrast of ST companies in various industrieswith non-ST distance to default, with the most able to distinguish between two types ofthe long-term liabilities coefficient of the sample point as the industry long-termliabilities coefficients used in the calculation of the KMV model, resulting in the long-term liabilities of agriculture, machinery, chemical industry three industry default pointcoefficient values were1,0.3,0.3, the value of agriculture high due to the small amountof medium-and long-term liabilities, short years of long-term liabilities distributioncaused by the fixed assets of the other two sectors, so that the value is low. Thesignificance of the calculation of the coefficient of the long-term liabilities of the defaultpoint in different industries bank credit risk measurement of listed companies ofdifferent industries in the model, the coefficient values of long-term liabilities for breachof contract in accordance with industry to adjust to reflect industry characteristicsmeasure the credit risk of credit subject higher accuracy. Is to verify whether the KMVmodel suitable used in non-recourse factoring business. Sample calculations found twoquarters before the company is ST KMV model calculated the distance to default,breach the distance reduced, thus the increased credit risk, the KMV model can advancemore than six months will be able to predict the listing before the decline in corporatecredit situation, without recourse factoring is short-term trade finance, term less thanone year, only six months period, which the Bank to carry out the business of listed companies, can be used KMV model such business buyers and sellers of credit riskprediction and estimation, the main application for the business can reach more bankcredit rating requirements for its handling non-recourse factoring business for the bankto carry out such business learn from. Finally, use of the the KMV model on twolaunched a non-recourse factoring company credit risk measure, by comparison with theshort-term solvency indicators, the results have a good agreement found between thetwo methods, validation KMV model better distinction the credit status of the main non-recourse factoring credit, enabling KMV on a non-recourse factoring business of creditrisk measure.Through empirical analysis, the paper concludes that the KMV model is aneffective model to measure the credit risk of listed companies, and credit risk measurecan be applied to non-recourse factoring credit subject specific use, according to thecharacteristics of the industry to adjust KMV coefficient of long-term liabilities of themodel point of default, making the KMV model to measure the results in line with thecharacteristics of the industry to ensure the accuracy of the measurement results.