Does Default Risk of the Listed Company Increase Since the Global Financial Crisis?—Analysis Based on the Jump Changes in Chinese Company’s Asset Value

Abstract

Recently, Chinese companies are constantly shocked by external and internal unexpected events, such as US financial crisis, European debt crisis, snow disasters and earthquakes, which make all their assets values jump to the negative direction in a short time and thus increase the default rates of companies in different degrees. Because the default risk is larger as the jump risk of company’s total asset value is higher in short term, it needs to measure company’s jump risk and analyze the factors causing the different jump features. Thus, we assume that company’s asset value follows diffusion-jump stochastic process, from which we derive its probability distribution. We further use the variance of jump amplitude in the distribution as the metric to measure the jump risk, and make statistical analysis of the effect of systematic and some major idiosyncratic factors on the jump change. And we find jump risk of company has positive relation with the occurrence of sudden events, the likelihood of being specially treated, and the asset-liability ratio, and has negative relation with the scale, the capability of maintaining the sustained development and its dependence on the macro economic growth.

Key words: Default risk; Asset value; Jump risk; Systematic jump; Idiosyncratic factor