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Credit Risk Measurement of Chinese Non-listed Companies

Author: YingQianFan
Tutor: QianYanMin
School: Zhejiang University
Course: Finance
Keywords: Non-listed companies Credit Risk Measurement PFM model Probit model ROC curve
CLC: F224
Type: Master's thesis
Year: 2007
Downloads: 371
Quote: 2
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Abstract


On the basis of the analysis and comparison of various domestic and international credit risk measurement models , combined with the traditional nonlinear statistical techniques based on the modern theory of option pricing model , the establishment of a credit risk measurement models portray the characteristics of the non-listed companies . Next PFM (Private Firm Model) model , Probit model and empirical research and analysis based PFM Probit model , from which to explore the impact of the use of the latest data of China 's listed companies and a state-owned commercial banks , non-listed company credit data credit risk of non- listed companies in China are a significant factor . In the last classification prediction the correctness test and ROC curve analysis of the two methods to a comparative analysis of the effectiveness of the model , drawn from a rich empirical findings and pointed out that the improvement and direction for further research . Found through theoretical and empirical research , based PFM Probit model has the strongest default prediction ability , the ability to identify with the default time close to the model and also the stronger ; Probit model 's ability to distinguish some weaker , but also have to identify companies the credit deterioration trends ; PFM model results are less than ideal , the prediction accuracy rate compared to the worst , the model can identify the trend of the overall credit risk , but not good for the individual credit risk trends grasp . Forward-looking factor added to reflect the dynamic characteristics of the market on the basis of the analysis of the traditional static financial ratios - Distance to Default to better reflect the credit risk of non-listed companies . Various variables affect the credit risk of non-listed companies , the empirical analysis shows that three types of indicators of liquidity , capital structure and the size of the company can be a good illustration of the characteristics of the credit risk of non- listed companies in China , is a measure of the credit risk of non-listed companies excellent The three indicators of the indicators , especially cash-based assets to total assets ratio , current liabilities ratio and interest coverage ratio was very high and very stable . Distance to default factors appears to be very stable , and significantly higher level , the default risk of the company has strong explanatory power . Other profitability indicators, activities and growth indicators significantly lower level , the weaker the relationship between such indicators and corporate credit risk .

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CLC: > Economic > Economic planning and management > Economic calculation, economic and mathematical methods > Economic and mathematical methods
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