Credit Risk Model Research Of The Listed Manufacturing Companies In China

Credit risk arises from credit activities uncertainty in the economy. Since the1990s, with the changes in the international financial market environment and the development of financial innovation, the credit risk has exposed severely. China’s economy is in transition development phase, but the deficiencies of the system of property rights lead to the widespread lack of credit. Indirect financing in the current economic and financial system, such as bank loans, trust loans, entrusted loans, is still an important part in the financing model, which directly determines that the nation’s mainly financial risk is credit risk. Therefore, how to effectively measure and manage credit risk is an important topic in China’s financial institutions. Based on this background, the paper uses manufacturing industry listed companies as study case, carrying out relevant research to its credit risk measurement issues.At present, because the development of China’s credit rating system is still lagging behind, and the level of risk management is not developed, many modern credit risk measurement models are difficult to use. After20years development, China’s capital market, especially the equity trading system has been gradually formed; therefore, the stock market can be regarded as a great mechanism for evaluation of listed companies. KMV model is based on stock market transactions, and it is suitable to measure credit risk of listed companies in China.This article includes the theoretical and empirical development. Theoretical part briefly discusses the research background, significance as well as domestic and foreign literature study, and then introduces the definition of credit risk characteristics as well as several traditional and modern credit risk measurement model, and elaborated on the basic principles of the KMV model and the calculation process. Empirical part focus on two angles. Empirical part tests KMV model as a whole if it is able to distinguish between ST and non-ST company, and which point of default settings can make the most effective model; Factor analysis model use the same companies as the sample to test the effectiveness.40listed companies are selected from the Shanghai and Shenzhen stock markets as the sample. Conclusion:KMV model has good applicability for credit risk measurement of listed companies in China, and the default distance is a good distinction between ST and non-ST companies. In addition, factor analysis model can be used to assess the credit risk of listed companies in China.The innovation is reflected in:For the calculation of the default point, our scholars directly use this formula "DPT=short-term liabilities+0.5*Long-term liabilities", which lack of actual situation in China. In this paper, we select9values of0.1to0.9to calculate the coefficients, and select the default point coefficient with the most significant variance value. Secondly, this paper uses the ANOVA to compare the efficiency of KMV model and factor analysis model.