Research On Credit Risk Of Company Based On Temporal Variation Of Asset Market Value

Company credit is both the most important part of the social credit and financial market system.Make an accurate and effective assessment on the company's credit risk,not only benefit to the healthy development of the enterprise itself,but also conducive to promoting the stability of financial markets,and come agree with the construction of social credit system of china.This study mainly through the study of the temporal changes of company's assets market value to make a comprehensive measure for the company credit risk in parameters and nonparametric methods.Data is selected from wind classification of the 9 industries,with 60 months(2011-2015)market value data of 18 ST and non-ST companies.Firstly,create the KSVM and RF method prediction models of the original data,and then calculated the default distance to describe the credit risk.From the prediction accuracy aspect,RF model is better than KSVM,but the prediction accuracy of the two model in ST company is significantly lower than non-ST company.Department of asset market volatility by the existence of a certain jump factors,and ST company is more sensitive to changes in internal and external environmental factors,market capitalization jump wave frequency higher,jump stronger.To this end,we introduce the jump factors based on credit structure model is established on the jump diffusion stochastic differential equation to characterize the jump to market changes,and using the MCMC method under the Bayesian estimation and Gibbs sampling to estimate the parameter of the model,and then calculate the corresponding default distance to reflect the credit risk of the company.The whole estimation result of the default risk is consistent with the machine learning methods in the qualitative analysis,but in quantitative determination the former is more robust and accurate.