Measurement of Credit Risk of Small and Medium-sized S&T Enterprises in China

Jia-wen Zhang, Long-hui Chen, Xiang-yun Liu and Fen Ding

International Journal of Business Administration, 2014, vol. 5, issue 4, 21-31

Abstract: This paper mainly studies the measurement of credit risk of Chinese small and medium-sized enterprises in Science and Technology (SMEs in S&T). Starting from the characteristics of the development of S&T enterprises, this paper selects the chinext 12 Chinese small enterprises annual data as sample, and builds a first-passage-time jump-diffusion structural model to measure small and mid-sized enterprise credit risk on the basis of the traditional KMV model.At last,it concludes that the first-passage-time jump-diffusion structural model has higher accuracy on the measurement of the credit risk for it obeys to the high risk and high volatility of the small and medium-sized S&T enterprises. At the same time, it puts forward the policy proposal on the development of the small and medium-sized S&T enterprises in China.

Keywords: small and medium-sized S&T enterprise; credit risk; jump-diffusion process (search for similar items in EconPapers)
Date: 2014
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Persistent link: https://EconPapers.repec.org/RePEc:jfr:ijba11:v:5:y:2014:i:4:p:21-31

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