Study On Credit Risk Factors Of China’s Listed Companies And Measurement Model

Credit risk is an inherent part of risk in commercial banks and it plays an important role in the risk management of banks. In the past two decades, the credit risk management is high-profile, mainly due to the economic globalization and financial deepening. Therefore, since the 1990s, the foreign spare no effort to develop more effective credit risk measurement methods, which contribute to the emergence of a number of advanced modern credit risk models. With the gradual liberalization of China’s financial market, as well as more and more involved in world economic affairs, the domestic banking sector is necessary to keep up with the international standards in the credit risk management.However, foreign advanced credit risk measurement methods can’t be applied directly, which demand us to take consideration of China’s actual situation. So, what are the factors affecting the credit risk of listed companies in China? How to take into account these factors and select the appropriate credit risk measurement means? How to modify these models? These issues are worthy of further study.This paper begins with the severe credit risk environment faced by China’s commercial banks, and then use the main line of credit risk measurement models to collate and analyze the existing research on credit risk factors. Based on that, the study are as follows:Firstly, this paper focuses on the factors affecting the credit risk. By sorting out the domestic and international research literature, it summarizes in four major categories of credit risk factors: financial factors, market factors, macroeconomic factors, and other factors (such as firm characteristics, industrial property, regional property and non-economic factors, etc.) and then expounded the mechanism of these factors worked on the credit risk.Secondly, the paper gives comparative analysis and correction for these credit risk models. Based on the theoretical analysis of credit risk factors, credit risk models are divided into three categories:econometric models based on financial factors (linear discriminant model and Logistic model), structure models based on the market factors (Merton model and the KMV model) and CPV models based on macroeconomic factors. This paper then conducts comparative analysis among these models. After that, it makes some corrections on the model to make it more applicable in China’s credit market.Finally, this paper tests the application effect of the modified model. By selecting 23 ST manufacturing enterprises and another 23 non-ST-manufacturing companies as samples, the paper do the empirical test of the modified model. The result shows that the revised KMV-logistic mixed model has a high application value.