Research On Measurement Model Of Credit Risk And Application In China Of KMV Model

The credit risk is main risk for the financial organization, for example the bank. Strengthening the management of the credit risk always is the financial industry and its supervising organization work key point. At present, our commercial banks' higher non-performing loans(NPL) have become a big hidden danger for our economic healthy development. The institutional factor of economic transition is an important reason of forming a NPL loans, but at the same time, the lower level of our banks' risk management, and especially not finding a perfected credit measurement technology have accelerated the forming of NPL. Now our banks' measurement is still at primary stage of traditional credit rating. The credit risks analytical method has the too strong subjectivity, and mainly depend on the historical accounting data, can't see the future development of enterprise, so the very great deviation often lies. The western developed country banks have already formed very advanced inner models for credit risk measurement. These models take advantage of all information to analyse the credit states ofenterprises. Using these models, the banks have greatly improved risk managerial ability. With unlocking of our financial transaction, the foreign banks will gradually get the right for competing with the domestic bank on an equal basis, and present low risk management level of domestic bank will make their out of unfavorable competitive position. The purpose of the research in my dissertation is to find out suitable credit risk measurement model for our country at present, and improve the credit risk management level of our banks through the reference of this model.This dissertation structure arrangement as follows: First chapter is about credit risk and its measure basic elaboration. First has compared between each kind of credit risk concept difference, pointed out this article needs to study the credit risk concrete content. Then has made a simple review to the development course of the credit risk measurement and define credit risk measurement model.Second chapter closes to the traditional credit risk measure model summary. Simply introduced the expert method, the rating method and three big traditions risks measurement technology of the credit grade method, and to carries on the summary to it.Third chapter is about the modern risk measure model judgment and the comparison. Analyzed four kinds of modern credit risk measurement models, and gave the judgment to each kind of model good and bad points. Made the comparative analysis from general and in the our country serviceable two aspects for these models. Because the current our country special national condition decided, these models also lack the certain foundation in our country application, compares with other three kind of models, the KMV model current has the relative better serviceability in our country.Fourth chapter is goes on KMV model experiential research on the basis of the listed company of our country. Has analyzed the KMV model three questions which still needed to solve in our country application, namely the non- circulation stock fixed price, the history broke a contract the data to lack as well as the property undulation rate determination, and proposed the corresponding plan on the existence these questions solutions. Then domestically selected 30 to go on the market the company to make the experiential analysis. The model computation result had reflected in the certain degree the current actual situation, indicated the KMV model had a better serviceability in our country.Fifth chapter is the comparison of the KMV model and credit risk measurement of our commercial banks. Because of the shortage of historical data, we can only make the comparison between the default distance of KMV model and credit rating of loans risk degree. Through the comparative analyse, more advantage of the indication of default distance than credit rating that have popularly used in China at present is concluded.The data of this dissertation come from quotations of the stock marke...