A Study Of Credit Risk Model Of Commercial Banks

Credit risk is the oldest kind of risk in financial market. For the commercial banks which regard credit as the target of managing, credit risk is their inherent and main risk faced even more. Credit risk is also called the default risk, it can be defined that a kind of possibility which suffers the bank, investor or the other side of trade from lost, because debtor, securities publisher or the other side of trade are unwilling or unable to fulfill the terms of the contract and form breaking a contract because of various reasons. In the commercial bank, it is reflected mainly on traditional loan, discounting, overdrawing, letter of credit, the same trade dismantling and putting, securities underwriting, guarantee, etc. With the quickening of the paces of reform in banking system of our country and improvement of the degree of opening of financial circles, the domestic banking faces the severe challenge of international competition. Under the new form that the finance globalizes, commercial banks of our country must use the advanced management experience of credit risk in the world as reference , strengthen management of credit risk, develop suitable management model of credit risk, meet the need of the new frame of 《Agreement of Basel》. Under the new form that the finance globalizes, what strengthens the research of risk measurement model of commercial bank of our country, and narrows the disparity foreign counterpart, has already become the great subject that financial circles of our country has faced. The exploration course of measurement model of credit risk can roughly be divided into three phases: The first phase: Before 1970, most financial institutions were basically according to the bank expert's experience and analyzing subjectively to assess credit risk, the main analysis tool included 5C analytic approach, credit rating method, etc... The second phase: Set up the credit grades model based on financial index, there were mainly analytic approach of plural discrimination, logit model, near neighbor method, categorized tree and neural network, etc... The third phase: Since 1990s, several west commercial banks have begun to explore to use modern financial theory, mathematics tool to assess credit risk, have set up the measurement model based on risk value, probability in default , expectancy loss, for example Credit Metrics, KMV , Credit Risk , Portfocio View model ,etc.. KMV model is a kind of method to calculate credit risk that the KMV Company introduced. This model bases on the model that Merton was put forward in 1974 to derives the real default frequency of each debtor's according to --Expected Default Frequency, namely default frequency is the function in such variables as company's capital structure, fluctuating rate of the assets income, assets current value, etc., therefore KMV model mainly utilizes the option price theory to set up the controlling model, and to predict the credit risk of the listed company. There are concretely including four steps to estimate credit risk of listed company with KMV model: (1) To estimate the Company's assets market value V Aand the fluctuation rate of company's assets value σA; (2) To calculate Distance-to-Default, it is index estimate of the default risk; (3) To use default database to set up corresponding relation between Distance-to-Default and real default frequency; (4) To estimate expectancy default loss and anticipated default loss of loan. In terms of quantitative analysis, through the compare and analysisbetween KMV and Credit Metrics of the two major measurement models of credit risk in the present stage , and the analysis of actual conditions of Chinese listed company, this paper uses KMV model to carry on the positive research to Chinese listed company, In the article it has mainly carried on the risk analysis of credit against China International Marine Containers (Group) Co. Ltd and Zhejiang Xinlian Co., Ltd that were two more special stocks of 2004. China International Marine Containers (Group) Co. Ltd whose benefit has been good continuously for many years, and has ranked first in ten major good performance stocks of the whole country in 2004; Zhejiang Xinlian Co. Ltd suffers the loss in succession for many years, and has been implemented especially dealing with on September 19 , 2003. Up to the end of 2004, it has ranked the end location in ten major poor performance stocks. In the real example analysis, toward the own characteristic of Chinese listed company; we especially dealt with the structure of the capital stock and debt structure in default. When calculating company fluctuation rate σE of stock of market value, we considered not only the A-share, but also the B-share, and dealt them with weighted average; while calculating the market value V E of company's stock , we considered the circulating stocks and non-negotiable stocks of the listed company synthetically, and towards the question of different price and right from the same share of circulating stocks and non-negotiable stocks, we estimated the market price of non-negotiable stocks, then calculate the market value of the stock-VE with the method of price of net assets; when calculating Distance-to-Default, we improved calculation formula of default point, and constructed linear regression model which regards short-term debt and long-term debt as independent variable, and market value as result variable when the company defaults, and use it to estimate default point when listed company default. The analysis results show that the result of estimating expected default...