The Empirical Study Based On KMV Model Of Credit Risks Management Of China's Commercial Banks

Commercial bank's credit risk management in overseas has already formed quite mature theory basis, but our country's financial market starts later, and the Commercial bank's credit risk management's research is also later than the developed countries. Therefore, the empirical study of credit risk management of our country's commercial bank has realistic function to the development of our country's commercial bank's credit risk management.There are two traditional methods for measure credit risk. One is the analysis of director combine with financial ratios. The core is evaluate an economic field or financial product and similarly the enterprises'financial statements and the outstanding analyzers'experience and judgments, similar to the grader's expert rating, including expert discriminations and rating methods. The other is the statistical model. Uses the statistical models to calculate the probability of default of credit risk and the loss rates of default, and then measures the credit risks. The modern credit risk measurements are base on the modern financial theory and the information of capital market, including credit supervised model, JP Morgan's credit metrics, the Credit Suisse bank's credit risk+ and the McKinsey's credit portfolio. The common character of the four internal models is that the combine with computer technology, econometrics, statistics and project management systems, and measure the credit risk all round from the view of security and loan portfolio .But the loss distribution that each system to assess the exposure of credit risks and the capital to offset the risks are different.In the structure, this paper is divided into six chapters, and the specific structure is as follows:The first chapter: The introduction, mainly introduces the paper selected topic,the background and the significance, the domestic and foreign research conclusions, the scope of the paper's research, and the consideration and research's methods.The second chapter: Summarized the theoretic and described the status quo of credit risk management of China's commercial banks.The third chapter: The specific introduction of KMV model is also one of the most important chapters.The fourth chapter: The empirical research which uses the KMV model to measure the expected default rate, and also is the core of this article.The fifths chapter: The improvements for China's commercial banks'credit risk management.The sixth chapter: The summary and outlook.