Study On Credit Risk Measurement Models And Their Application For China

The credit risk is the main risk that the commercial bank faces. At present, commercial banks in western countries adopt more advanced approaches to credit risk measurement and management, and also keep on upgrading all the time. It has formed the corresponding system on practicing and theory. By taking advantage of these advanced models and measurements, foreign developed commercial banks deeply promote their credit risk management techniques.Responding to the BASEL II IRB approaches, commercial banks and scholars in China have made some researches on the quantitative model to evaluate credit risk models. This paper makes an effort to innovate on the foundation of profits from former researches, makes the real example analysis regarding to the listed company's credit risk level, and provides a certain basis for the further research on credit risk measurement in the Chinese market.In the structure, this paper firstly elaborates on the credit risk connotations and characteristics, analyzes the most influenced, four kinds of credit risk measurement model in the Western developed countries. It mainly carries on deep analysis and comparison to these model's superiorities and inferiorities; Secondly, this paper makes applicable researches on these models for our country's commercial banks; At last, it chooses financial data of 30 listed companies, makes a real example analysis to the sample company's credit condition by using the KMV model, and constructs a relevant return model between the distance to default and outstanding achievement factors based on the real example analysis, then it proposes the corresponding suggestions for the use of KMV model to china.The main conclusion includes:First, through the comparisons between superiorities and inferiorities of these models, as well as researches on the applicability of these models for our country, it is found that the KMV model has certain applicable values because of its principle characteristic, we only need the full useful capital market data to reflect the credit condition of the listed companies just using the core --the distance to default. However, the Credit metric model, the Credit Metrics+ model and the Credit Portfolio View model face very big actual barriers on the application for our country.Next, from the real example diagnosis, it is discovered that the KMV model has certain effect on the weight of the listed company's credit condition, the constructed model also supports the results of the example analysis based on KMV model, then this paper comes to a conclusion: The KMV model which takes the data analysis on stock price as an basis, can becomes a practice choice to our country's commercial banks.