Research On Credit Risk Measurement Method Of Listed Companies In Our Country

In recent years,China’s economic and financial environment has changed rapidly,and the process of financial system reform has been continuously advanced.As the core of financial operation,commercial banks play an important role in China’s national economic and social development,providing important financial support for domestic enterprises.The level of credit risk management is closely related to the steady development of the national economy.In order to make China’s commercial banks stable and far-reaching,the ability of credit risk identification,evaluation and control must be improved.Firstly,this paper summarizes and sorts out the relevant literature,compares and analyzes the traditional measurement methods and modern measurement methods of credit risk,In the early stage,domestic and foreign scholars mainly used qualitative analysis of rating methods to measure bank credit risk.including SC method,SP method and credit rating method.Later,I tried to use the collected financial data to do some data statistics,analysis and computer modeling.The main application results include genetic algorithm,neural network algorithm and Probit model.KMV Company successfully designed KMV model based on option pricing theory.Compared with other models at present,it is easier to obtain data.Therefore,the main research and analysis object of this paper is KMV model,and the modified and optimized KMV model is used for empirical research.In order to make the traditional KMV model more suitable for the measurement of commercial banks’ financial credit risk,this paper modifies some parameters.In the process of empirical research,the EGARCH model is used to calculate the stock price volatility,which fully takes into account the characteristics of the peak and thick tail of the financial yield series,solves the heteroscedasticity problem encountered in stock data calculation,and improves the calculation accuracy.By analyzing,calculating and comprehensively testing whether there are obvious differences between the default distances of ST companies and non-ST companies under 10 different default points.the best default point is determined.At the same time,based on the main proportion of loans invested by commercial banks,this paper takes 14 listed companies in 2021 as the research object,and uses the sample annual financial data and daily stock trading data to make an empirical test of credit risk measurement.The analysis mainly depends on MATLAB,SPSS 26.0,Eviews 10.0,Excel and other software.The conclusions are as follows:First,using EGARCH model to calculate stock price volatility can improve the accuracy of calculation to a certain extent.Second.using independent sample T test and Mann-Whitney U test.DPT=0.8LTD+STD is determined as the optimal default point.Thirdly,in the field of credit risk measurement of listed companies,the revised KMV model is more applicable,which can better provide reference for commercial banks’ credit loan business and reduce the lending risk of commercial banks.In this paper,the innovative modified KMV model is empirically analyzed,and the above conclusions are drawn for your reference.The policy suggestions mainly include the following two aspects:(1)Further improve the credit risk measurement method,improve and optimize the traditional KMV model,build a shared default database,and improve the internal credit rating method of commercial banks.(2)Optimize the application environment of the credit risk measurement model,create a good credit management system in commercial banks,pay attention to cultivating credit risk management talents in commercial banks,and establish and gradually improve a unified credit supervision platform.