The Comparison Of Credit Risk Measure Models And An Analysis Of The Applicability In China

The impact of credit risk on the modern economy is deep and wide, from residents’ daily life and enterprises’ normal operation, to economic development and macro policy making of a country.The subprime mortgage crisis occurred at the beginning of this century triggered a worldwide financial crisis, caused many governments and financial institutions pay close attention on the credit risk management and credit risk assessment technology. And China’s market-oriented reform of interest rates gradually makes more commercial banks to pay more attention on the credit risk management. Now, the western countries’techniques of credit risk measurement have experienced form simply qualitative analysis to linear and non-linear models that based on financial indicators, and then experienced the process of quantitative models that based on a variety of modern science theory. Develop China’s credit risk measurement techniques, find a suitable model system to measure the risk management is undoubtedly an urgent task for the theory and practice workers."Stones from other hills, can learn." In order to establish the credit risk evaluation system with China’s characteristics, an effective way is learn-transformation-innovation. Based on the historical context of the development of credit risk assessment model, and the evolution characteristics of credit risk management theory, credit risk evaluation models will be divided into the traditional models and modern models. Based on systematically combing on those models, and analysis and compare the representative models’ assumptions and pros and cons in deeply, revealed the ability of these credit risk assessment models’ risk evaluation ability in practice. Meanwhile, the paper also chose two types of representative models, KMV model and Logit model with the actual data of China’s listing corporation, to do the empirical analysis of China’s listing corporation, and to explore the effectiveness of the credit models.This paper is divided into 7 chapters:the first chapter is the introduction of this paper, introduces the background and significance of this research, explain the present situation of domestic and foreign research on credit risk measurement and introduce the framework of this article. The second chapter described the connotation of credit risk and the evolution process of the credit risk evaluation theory and present situation in our country. The third fourth and fifth chapters introduce traditional credit risk measurement models and modern methods in detail and conducted a comprehensive comparative analysis. The sixth chapter is the empirical analysis, use KMV model and Logit models to conduct the empirical analysis from large enterprises’ and small enterprises’ point, comparing the different application of KMV model and Logit model. Chapter VII is this paper’s conclusion and prospects for further research.