Credit Risk Measurement Based On KMV Model And Its Application To Listed Companies In Chinese Commercial Bank

Credit risk is not only one of the most important risks which the Chinese commercial bank faces but also an important challenge to our finance market after we joined into WTO. In order to improve the credit risk management levels of the Chinese commercial banks and create a new suitable measurement model to our country, it is important theoretical and realistic meaning to study the advanced credit risk management and measurement techniques in the world and apply it to the practice of Chinese commercial bank risk management.After comparing the different credit risk models, the writer brings forward the KMV model to analyze our credit risk because of its suitability to the listed company in our country. Then the writer selects 74 stocks as research samples. By measuring each Default-distance to draw relative conclusion, the writer explains why the KMV model has a bright future in the application of analyzing the credit risk. As a result, this paper is divided into five parts to analyze: First, the purpose, the significance and the background are discussed. Second, the writer analyzes the main measurement of credit risk inside and outside our country. Third, the writer gives expatiation on the new development about the credit risk management and measurement, specially the evaluation about the four risk model including KMV, Credit Metrics, Credit Risk+ and CPV, their applied range, and the advantage and disadvantage have been given also. Fourth, the writer explains the status in quo and the trait of Chinese commercial banks face in credit risk measuring, furthermore the writer chooses the KMV model and the applied range of the KMV model in the management and measurement of the credit risk in our nation has been given. The writer chooses 74 listed companies as two specimens which divided into two contrastive groups to demonstrate our conclusion in this paper by calculating their each interval of breaching. Then, the writer gives somerelative advice. Finally, the writer summarizes the conclusions that mentioned in the previous chapter, and points out some deficiencies in this paper.The major contributions of this dissertation are that: First,making the relationship between financial risk and credit risk clear, strengthen the understanding of credit risk;Second,making adjustments to the calculation of the non-circulation stock fixed price for KMV model in accordance with Chinese situation and then make the empirical study about the credit risk of the listed companies in china;Last, the scale of specimens is more than that of the past, the writer chooses 74 listed companies as two specimens and calculate the Default-distance each in order to get the effective conclusion.The data of this dissertation come from quotations of the stock market and financial statements which the listed company issued. Combining the nature method and quantitative method is taken.