Credit Risk Assessment For Listed Banks In China Based On KMV Model

The development of capital markets and China's termination date of protect the financial sector after accession to the WTO,give how to lower credit risk level of China listed banks considerable theory and reality significance.Enhance lower the credit risk level of China listed banks on the premise that the China listed banks' credit risk level have a correct assessment to identify.This article is based on this background,try to analysis and evaluation China listed bank's credit risk level.Choose KMV model,which theoretical foundation is Merton option pricing theory. Based on the realities of China's capital market,use Distance to default as a core quantitative indicator of the risk of listed banks.Mainly the following aspects of the empirical research.(1)make amendment of KMV model's two important parameters-the value of equity and default point for China's growing listed banks.(2)use factor analysis,from the 14 current listed banks selected China Merchants Bank Ltd(CMB),Shanghai Pudong Development Bank(SPDB),Hua Xia Bank Co.,Ltd(HUA XIA BANK),Shenzhen Development Bank(SDB) and China Minsheng Banking Co.,Ltd (CMBC)the five banks as samples,which have the nearest grow and most influential in China's financial sector.(3)study their 2001-2008 eight years' everyday closing price and relevant financial data of the yearbook and six month yearbook for empirical research.Respectively calculate 2001-2008 every six months' default distance,then carry variance test and T test.(4)using that amendment KMV model,analysis the five banks' 2001 to 2008 changes in ranking,changes before and after the non-tradable share reform.Then make an overall credit risk for the 14 Listed Banks of 2008.From the above empirical analysis get the following results:(1) as for CMB,SPDB,HUA XIA BANK,CMBC,the prices of non-tradable shares formula is P = 1.652688 + 0.906602×X(P-of non-tradable prices,X-share net assets),default point formula is DPT = STD + 0.25LTD(STD-short-term liabilities;LTD-long-term liabilities) are most appropriate,SDB's prices of non-tradable shares formula is the same with other four,but default point formula is DPT = STD + 0.25LTD. (2) from 2001 to early 2004,five banks' default distances are all higher than 2005-2007,which are close to the non-tradable share reform,and changes are larger,2008 because the world financial crisis from the overall decline in breach of contract..with the non-tradable share reform to complete,five banks' default distance began to rebound,six months before and after the non-tradable share reform,the default distance changed obvious. The five banks' integrated level of credit risk ranking is:CMBC,CMB,SDB,SPDB,HUA XIA BANK(competitiveness from high to low).China 14 Listed banks' credit risk ranking is:Bank of China(BOC),Industrial and Commercial Bank of China(ICBC),China Construction Bank(CCB),China CITIC Bank,Bank of Communication(BCM),CMBC,Bank of ningbo CO.,LTD(NBCB),Bank of Beijing(BOB),CMB,SDB,Industrial Bank Co.,Ltd(CIB),SPDB, HUAXIA BANK,Bank of Nanjing CO.,Ltd(BANK OF NANJING).The above analysis shows that,KMV model in China financial analysis of the credit risk level of the banking industry have bright prospects.