The Research on Credit Risk of Manufacturing Listed Companies in China Based on Logistic Model

摘要

Currently, three commonly used ways to research credit risk of listed company is KMV model, CreditMetrics model and CreditRisk+ model. But the three models are established based on data of capital market and credit rating. Consider China's special circumstance, the development of capital market and rating system is not mature. So the three models are not so applicable in China. But logistic model is based on financial data, so the result is more reliable. According to the characteristics of manufacturing industry, this paper choose 6 financial indicators to predict the default probability of manufacturing listed companies and construct a logistic model through principal component analysis. Empirical result shows that the predictive accuracy of logistic model is 81.3%, two principal components have significant effect on default probability. Compared with other models, logistic model has good predictive effect, can not only provide a standard for company's risk warning, but also provide a standard for commercial bank loans.