基于状态空间模型的中国上市公司信用风险分析-analysis of credit risk of chinese listed companies based on state space model.docxVIP

AbstractSince the U.S. subprime mortgage crisis in 2007, the financial turmoil spread globally, and brought great panic and heavy blow to the global financial markets. A large number of companies (especially banks and financial institutions) were downgraded credit-rating or even bankruptcy as the result of sharp decline in asset quality. Coupled with the recent downgrade of U.S. Treasury bonds’ credit-rating, and spread of the European sovereign debt crisis, global financial markets goes worse. The economics of many developed countries went recession, and the unemployment rate remains high. These events show that the defects of credit risk measurement model and the rapid development of credit derivatives as well as the lag of credit risk regulatory become one of the main reasons for this financial turmoil. Although China was less affected by the current financial crisis, However, the asset-liability ratio of some real estate companies are especially high, the expected cash flow of local government financing platform seems shortage, and many firms financing from the underground banks at high cost in the market environment of tight liquidity etc, these signs show that the credit risk is gathering in the Chinese market. Therefore, the improvement of the credit risk measurement models and measures to strengthen the regulation of credit risk has become the focus of the recent research.Credit risk measurement issue has been a problem in the risk management, credit risk model theoretically can be divided into two types, one is the reduced-form model, and the other is structural model. In practical applications, the structural model based on the capital structure of the company, which has an unparalleled advantage of data acquisition in assessing the risk of default compared with reduced-form model, and thus is widely used.To solve the above problem, this paper based on the structured credit risk models, consider the jumping behavior of asset-value under the impact of infor