The Empirical Research On Credit Risk Evaluation Model Of Listed Real Estate Companies

The credit risk is a branch of the financial risks;it is one of the oldest and the major risks.Under the special economic system in China,the credit risk seems particularly prominent with regard to our country's commercial banks,in which loan business takes the absolutely dominant place of all the asset business.The debt levels of the real estate industry has always been very high,the rate of assets and liabilities are generally about 75%with the rapid development in recent years.It can be said that the lifeblood of the real estate industry is bank loan.Therefore,to accurately measure and evaluate the credit risk of the real estate company is very necessary for the banks.This paper regard listed real estate companies as the research object,by constructing Z-Score model and KMV model to evaluate the credit risk of the real estate company,to explore the applicability of these two models in China's real estate industry,so that the banks as the basis of loans to make a better risk management.The paper consists of six chapters.The first part proposes the research background and the significance,expounds this article studies mentality and the framework;The second part reviews the related literatures of domestic and foreign credit risk evaluation;The third part generalizes and summarizes the related theory on the credit risk and the credit risk management,focusing on the reason of our country's credit risk and the present situation of the credit risk of listed real estate companies;The fourth part introduces the reason why this paper choose Z-Score model and KMV model,then introduces their basic principle.The fifth part is the core part of this paper.These paper select 10-ST-listed companies and 96 non-ST-listed companies of Shanghai and Shenzhen stock in 2011 as a sample use the financial date of 2010 to construct Z-Score model and KMV model,analyses these two models on the application of our country.The result shows that use Z-Score model to evaluate the real estate company's credit risk is remarkable,while KMV model in China is still in continuous test,the development time is short,at present it is not suitable to use this model for credit risk metrics and evaluation.But with the country's financial market continues to mature,according to China's unique economic system to constantly improve the KMV model,the model will be more to show its superiority;The six part is conclusions and outlook,propose the paper's limitations and questions that need to further explore.The inadequacies of this article are:First,the number of samples is small.Due to the number of ST listed companies of the real estate industry is small,then remove some companies that their financial date is incomplete,so the final detecting sample are only ten.Lack of the number of samples makes the model analysis is not comprehensive enough,is likely to lead to the calculation results of the model was not significant,thus affecting the model results,and this paper only analyses 2010 financial data,it is easy to cause the analysis results appear biased.Second,when evaluating the credit risk of listed companies,only stock price use market data,making the model over-reliance on financial index.While financial indexes sluggish and easy to manipulate to some extent,affect the accuracy of the model evaluation.Finally,the model's processing is relatively simple.Such as,not use the GARCH(1,1)model on the calculation of the equity volatility.The model can better reflect the characteristics of the stock market financial data,and the calculation of the equity volatility is more accurate.In addition,when research default trigger point for the listed companies of real estate industry in China,the paper set only three kinds of situations,and the method of analyst the effectiveness is also relatively simple.