Empirical Study On Commercial Banks' Credit Risk Evaluation Of Enterprises In China

Finance is the core of modern economy.While fulfiling the supply and pricing of funds,it has also completed the allocation of resources among market participants.Therefore,finance is closely related to the development of national economy.Commercial bank,as the core intermediary in the financial system,plays an important role in the whole financial system.Financial globalization and economic integration result in the strong diffusion and contagion effects of financial risks.Financial innovations make the risks become much more complex and diverse.Since the 19th CPC National Congress,with the deepening of financial reform,our government has demonstrated the necessarities of the control of financial risks.Among the many risks,credit risk is the main risk for commercial banks because of its strong transitivities and huge impacts.In this context,how to manage the credit risks effectively has become an urgent problem to be solved for commercial banks.For a long time,traditional credit business is the most important profit-making business for Chinese commercial banks.However,there still exist gaps between domestic and foreign financial markets.While mostly based on indirect financing,corporate loans occupy a leading position among the whole loans.In recent years,domestic enterprises have grown rapidly.Nevertheless,many enterprises are weak in resisting risks because of poor management,and they are very likely to default,resulting in huge credit risk.Therefore,it is indispensable to use scientific and accurate measures to evaluate the credit risk of enterprises.In this passage,we firstly sort out the existing literature,and elaborate the meaning and characteristics of credit risk.Then we compare and analyze the credit risk measurement theory both from domestic and foreign perspective,and point out the prons and coins of different methods and their applicabilities.The purpose of this paper is to conduct an empirical research on enterprise credit risk by using super efficiency DEA model and Logistic regression model,so as to provide advice for commercial banks to assess enterprise credit risk.We choose the financial data of 102 listed companies as resrarch sample,regard the stocks under special treatment as the signal of credit risk.The samples are divided into normal group and default group.By selecting 26 indicators,combining the method of principal component analysis,we use two models to measure the credit risk of enterpeises.This paper focuses on the evaluation of credit risk from perspective of the credit score and the probability of default.The study shows that the average score is obviously different between the two groups,and the credit score of the normal enterprise is obviously higher than that of the default enterprise.The Logistic regression model,which calculates the default probability of enterprise,has also passed the significance test,it also shows good prediction performance.Finally,this paper proposes that domestic commercial banks should improve credit risk management system,take appropriate quantitative measures,thus accurately measure and control credit risks.