Credit risk measurement and early warning of SMEs: An empirical study of listed SMEs in China

Authors:
Xiaohong Chen;Xiaoding Wang;Desheng Dash Wu
Affiliations:
Business School, Central South University of China, Changsha, Hunan Province 410083, PR China;Business School, Central South University of China, Changsha, Hunan Province 410083, PR China;RiskLab, University of Toronto, 19 Borden ST, Toronto, ON, Canada
Venue:
Decision Support Systems
Year:
2010

Citing 5
Cited 2

Bankruptcy prediction using neural networks

Decision Support Systems - Special issue on neural networks for decision support
Hybrid neural network models for bankruptcy predictions

Decision Support Systems
Neural network credit scoring models

Computers and Operations Research - Neural networks in business
A case-based approach using inductive indexing for corporate bond rating

Decision Support Systems - Decision-making and E-commerce systems
Credit rating analysis with support vector machines and neural networks: a market comparative study

Decision Support Systems - Special issue: Data mining for financial decision making

A note comparing support vector machines and ordered choice models' predictions of international banks' ratings

Decision Support Systems
Comparative analysis of data mining methods for bankruptcy prediction

Decision Support Systems

Quantified Score

Hi-index	0.00

Visualization

Abstract

In the process of resolving financing difficulties of small and medium enterprises (SMEs) in China, the measurement of credit risk of SMEs is a very challenging problem. In this paper we develop a novel model based on the original KMV model with tunable parameters to measure the credit risk of Chinese listed SMEs. By setting two credit warning lines to monitor the credit crisis of listed SMEs, we find that the predictive accuracy of adjusted KMV model is stable to the change of default points in Chinese listed SMEs, which is different from KMV Company's existing result. Our study shows that the credit risk of listed SMEs in China is relatively high and tends to increase during the chosen period from the year 2004 to 2006. We also find that the asset size has significant impact on credit risk and there are few credit risk fluctuations before and after the split share structure reform.