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Credit Risk Management Of Commercial Bank And Research On Application Of KMV Model

Posted on:2007-04-06Degree:MasterType:Thesis
Country:ChinaCandidate:H T YuFull Text:PDF
GTID:2179360182493392Subject:Finance
Abstract/Summary:PDF Full Text Request
The credit risk is one of main risks which the commercial banks face in the management process, so it is extremely important for the commercial banks to strengthen the credit risk management. Along with Chinese financial opening, the commercial banks must strengthen the competition ability in market, develop suitable technology of credit risk management, improve the risk management system and raise the level of the risk management.The thesis mainly researches the models and the methods of credit risk management. On the basis that analyzes the concepts and characteristics of credit risk, briefly introduce the traditional expert grades method, the single variable analytic method and the multivariable analytic method, then introduce the modern credit risk management models, including: J.P. Morgan Company's Credit Metrics model, KMV Corporation's KMV model and CSFP Credit Risk+ model. Explain with emphasis the theory origin and the principle of KMV model, and have expounded computation process and the method of the parameter estimation of KMV model. In view of the fact that KMV model particularly suits the listed company's credit risk assessment, use the listed companies' data to conduct the empirical research of KMV model. Select 20 listed companies' data, calculate the volatility of stockholder's value, then compute default point and the stockholder's market value, finally obtain default to distance, through the contrast of default to distance analyze credit risk. Parameters reflecting our special national condition in KMV model are used in listed companies' empirical research, have discovered main difficulties in the application process of the model in our country and proposed the improvement program in view of the model insufficiency. Finally provide the summary to this thesis and make the forecast to the next step of work.The KMV model has the theoretical and practical reference value to the risk management of Chinese commercial banks. The thesis has made some discussion in theory and application about the utilization of KMV model such as risk management methods.
Keywords/Search Tags:Commercial bank, Credit risk, KMV model
PDF Full Text Request
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