基于结构模型的上市公司与银行违约风险的度量及管理分析-measurement and management analysis of default risk of listed companies and banks based on structural model.docx

AbstractDuring the past 20 years, financial crises which have frequently broken out around the world have brought great effect on the world economic and caused heavy damage to the world. Studying the reasons of several big financial crises, it’s not difficult to find that the crisis caused by credit risks has destroyed the economy most and the recovery of the economic capacity is the longest. This has no alternative but to cause a highlight by academe and business circles. Although our country’s financial system has not presented the big credit risks under the strong control, with day-by-day marketability and internationalization of Chinese financial system the possibility owing to presenting the big risk as a result of financial system own operation is in the enhancement. From this, we should think highly of the credit risk of financial system.In 1974, Merton proposed the Contingent Claims Model based on the Option Pricing Theory and has established the earliest credit risks model. From this, the related research about credit risks model had the considerable progress in several decades. And also the structural model gradually improves exogenous and endogenous model. LT model is the endogenous structure credit risks model which develops maturely currently. LT model believed that the default boundary was affected by many factors , like capital structure of economic subject, the ratio of assets and liabilities, tax rate, default (bankruptcy) cost, the return volatility and so on, but ultimately, the microscopic economic subjects pursuit of the stockholders rights maximization in economic operation. How to put theoretical model include a number of complex variables into practice so as to test its merits, is an academic problem.The paper first uses the endogenous structure credit risks model, integrates use of maximum likelihood method, extracts the value of asset through the market value of equity and then estimates the expected default probability of listed companies,