The Research Of The Credit Risk Measurement On Small And Mid-Sized Enterprises

Recently，the number of small and medium-sized S&T enterprises has increasedrapidly, which become to be the most active innovators. They not only inprove localeconomical development,but also provide our country with innovative energy.Thoughsmall and medium-sized S&T enterprises’ development needs a lot of financialsupport, financing difficulties have become the primary factor which restricts thedevelopment of the enterprises.This paper to carry o ut relevant research is to measurethe credit risk of small and medium-sized S&T enterprises in china under thisbackground.This paper,starting from the characteristics of the enterprises themselves,builds afirst-passage-time jump-diffusion structural model to measure their credit risk.Thismodel has two advanteges:firstly,it overcomes a major defect of traditional KMVmodel,which can allow the enterprises to default during the loan period,not only inthe end of the period;secondly,it adds a jump-term on the basis of KMV model,whichfollows the characteristics of small and medium-sized S&T enterprises.therefore it hasmore accuracy on the measurment of credit risk.So this paper select totally12small and medium-sized S&T enterprises of fourdifferent industries(biological pharmaceutical industry, computer electronicinformation industry, special equipment manufacturing and electronic equipmentmanufacturing enterprises)in the GEM.We analyse their financial data, and combiningwith the first-passage-time jump-diffusion structural model,pure jump-diffusionmodel and KMV model to do empirical research. The outcome demonstrates that thefirst-passage-time jump-diffusion structural model is better than the other two modelson the measurment of credit risk of these small and medium-sized S&T enterprises.