Research On Credit Risk Of Listed Financial Leasing Companies In China

The credit risk is very important in the financial risk field,and the number of default phenomenon in leasing industry has increased quickly in our country since these few years.It has great realistic meaning to find the credit risk theory suited to our country in leasing industry.The KMV company established KMV theory in1997,and this KMV model used to estimate the bankrupt or default point frequency of the quoted company.In the KMV model,the DD distance is very important to the company,and the shorter of DD value,the more higher default point frequency happens.However,the KMV theory was built up base on the American companies data base.And the default point value with the EDF(default point frequency)was base upon the American companies data base.And it was a very important reason why KMV theory could not be used widely in China.In this article,due to the actual situation in China,I fix the traditional theory in two points.First,set the DPT value as the most amount of the dividing long-tern debts.Second,count the EDF value from the internal quoted companies default database.The paper chooses ten quoted companies' data of leasing industry in China during the period of 2015-2019 to calculate the DD value with the fix KMV model,and compares it with the tradition KMV model.The results shows that,the fix KMV model is better than the traditional model,and the average DD value is smaller than the traditional ‘s.At the same time,built up the internal companies default database,and count the EDF with this database,compares it with the traditional ‘s result.Collect data of the actual default actions of these ten companies,and prove that,the fix EDF value based on internal database was better than the traditional ‘s.In the end,the fix KMV model has improved in the forecasting credit risk in leasing industry in China,and it is better than the traditional one.