Applicability of Default Risk Structural Models in Chinese Market

摘要

Although there are many risk maps of natural disasters, in terms of essence they The paper empirical proves the applicability of default risk structural models on measuring Chinese listed corporations' risk by testing the parameter relationship embed in structural models. First, the paper derives these parameters relationship in models based on theory of structural model; Secondly, we select representative hypothesis to be tested; Finally, we investigate the hypothesis by use 250 listed firms as our sample data. We find evidence that the relationship between on the default rate of Chinese listed firms and equity volatility is positive, the correlation coefficient of the default rate and capital structure is negative. The results indicate default risk structural model based on capital market information can be applied to measure credit risk of Chinese listed firms.