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The Optimal Credit Risk Evaluation Model Research of Chinese Listed Companies

Author: DongZuo
Tutor: YuXueJun
School: Nanjing University of Finance and Economics
Course: Finance
Keywords: Structure model effectiveness test model integral effectiveness falserate model reaction speed quantitative inspection
CLC: F224
Type: Master's thesis
Year: 2012
Downloads: 31
Quote: 0
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Abstract


Credit risk is a main risk which all the participants of financial market faced andhas been widely concerned, so the quantification measure of credit risk level has beenthe core of the loan pricing and risk decision. The credit risk measurement starts latercompared with the developed countries in the west. The current situation of ourcountry is that there are certain flaws in the use of modern measurement model. Themain performance of the flaws is lag in time exists in the use of the modern credit riskmodels and the applicability of foreign credit risk models is not clear.The widely usedtraditional credit risk measure model (structure model) are built on the foundation ofcomplete information. Such conditions inconformity with the actual situation,especially under the Chinese stock market. Under such circumstances, identifying themost applicable modern credit risk evaluation model according to the actual situationin our country and establishing a test system which takes more aspests into accountare of great theoretical and practical significance.Because of the theoretical advantages and unitarity of the structural models,inthis article we take the structure model as the point of research to establish a relativelyperfect credit risk measurement test system of the effectiveness of credit models bydoing theory comparison and empirical analysis ofI2model(which based onincomplete information) and traditional structure models. The system includesoverall effectiveness, distinguishing the companies of different credit risk level, thereaction to information and quantitative inspection. The empirical results show thatthe structure models all have the universal effectiveness in the aspects of overalleffectiveness and discriminatory ability.At the meantime,we test and verify that on allthe aspectsI2model has better performance. The empirical result comes up to thetheoretical superiority of theI2model.In the end, taking the present development situation and futher developmenttrend of Chinese financial marketI2has deeper research value credit riskmeasurement,loan pricing,credit spreads analysis of listing companies. The establishment of the test system has the significance in practical application and futuredevelopment of credit risk model.

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