The Empirical Research About China A Shares Listed Real Estate Company’s Default Risk Of Loan

Since the 21 th century,with the soaring housing prices in major cities, the real estate industry has ushered in unprecedented prosperity. But, at the same time, the market bubble is gradually emerging.China’s government policy on the real estate industry became more and more tightening in recent years, thus, the gross margin in the industry has declined significantly. And the global economic crisis in 2007 which caused by the U.S. subprime mortgage crisis produced a huge impact on China’s real estate industry. This has caused a considerable part of the small and medium-sized real estate industry have funding strand breaks and broke out the "unfinished building" incidents everywhere. Credit default risk is the narrow sense of credit risk. Real estate development loans default risk as the industry is gradually increasing to commercial banks. Credit risk is the most important risk faced by commercial banks, both foreign and domestic, our country starts late in the management of credit risk and it has been the target of many scholars in our country for many years to establishment of credit risk measurement model which is suitable for our country.In such context, this paper uses the KMV model to measure the expected default risk of A shares listed real estate companies in China. Firstly, we modified the default point(DP) in the KMV model: extended 9 groups of KMV models with different default points(DP) on the basis of the original KMV model, and using these 9 modified KMV models to calculate the default distance(DD) of 12 listed companies which has been special treatment and 12 normal companies to get the last KMV model which is most suitable for China’s current A shares market. Then use this model to estimate the expected violation risk of 64 listed real estate companies in China according to the data from 2013 to 2014, and contrast these companies by company size,the stock exchange which listed, where the company is registered(including by geographic north or South and by province)and the year. The results show that the default risks of Guangzhou Pearl River Industrial Development Holdings Co.,Ltd.(600684), China Fortune Land Development Co.,Ltd.(600340), Beijing Capital Development Holding(Group) Co.,Ltd.(600376)and several other real estate companies are high in the latest two years;While the default risks of Yangguang Co.,Ltd.(000608),rongfeng holding group co.,Ltd.(000668), Nanjing Chixia Development Co.,Ltd.(600533)and several other realestate companies are low in the latest two years; Larger real estate companies are more likely to default on their loans; The real estate companies which listed on the Shanghai Stock Exchange are more likely to default on their loans than the real estate companies which listed on the Shenzhen Stock Exchange;The real estate companies which registered in the north are more likely to default on their loans; The default possibility of the real estate companies have no significant difference between 2013 and 2014. At last, we put forward some requests towards the the KMV model’s application in China,China’s real estate industry and the commercial banks.