Abstract: Based on a variable selection method, the default probability of listed companies was calculated with a logistic model. Then kernel estimation and copula method were applied to fit the marginal and joint distribution between credit risk and changes in market value of listed companies. With conditional VaR, the applicability of the structure credit risk model was tested with large samples. Empirical tests show that there is a negative relationship between credit risk and market value which is affected by financial ratios and the default probability is sensitive to the decrease in market value. Besides, the main factor in forecast accuracy is the distribution of default probability, while the impact of the dependence structure between default probability and market value is not significant.

Key words: copula, listed company, credit risk, market value, conditional VaR