A Method for Identifying the Industry Credit Risk Based on Markov Chain

This paper proposes a new method for identifying the industry credit risk based on Markov chain. Firstly, a new credit rating model for enterprises based on Projection Pursuit and optimal partition is constructed, and then a credit state space of enterprises is established. Secondly, through calculating the non-conditional probability, the one-step transfer probability matrix of industry is obtained. Finally, through calculating the k-step transfer probability matrix of industry, the industry credit risk is identified successfully. Taking the high-tech listed companies in China as samples, it is proved that the method proposed by this paper is feasible and effective.