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The Study Of Credit Risk Management In Chinese Commercial Bank

Posted on:2011-03-18Degree:MasterType:Thesis
Country:ChinaCandidate:Y Q FangFull Text:PDF
GTID:2189360305962238Subject:Finance
Abstract/Summary:PDF Full Text Request
While suppling the fund for the financial development and supporting the reformation of the state enterprise for a long time,the commercial banks accumulate a mass of credit risks. Though chinese commercial banks take many steps to reduct unhealthy assets at recent years,there are still problems such as deficient preparation for the loss of loan, credit risk remains one of the main risks to chinese commercial banks, improving the ability of managing credit risk becomes an essential course for chinese commercial banks.Based on the annual reports of 12 listed commercial banks, this paper trys to demonstrate the real picture of the credit risk for chinese commercial banks, thereout elicits the conclusion that chinese commercial banks exists quite credit risk. This paper also reseaches the credit risk control management of chinese commercial bank at a quantity point of view. This paper picks out 10 ST listed companies ans 10 non ST listed companies from Shanghai & Shenzhen stock market as sample nand calculates Distance to Default and Expected Default Frequency of the sample companies by KMV model so as to checkout the ability of KMV model in identifying risk.The demonstration result indicates:Compared to the ST companies,non ST companies have longer Distance to Default and lower probability at Expected Default Frequency,the KMV model could distinguish credit risk between STs and non STs.Based on the situation of credit risk management in chinese commercial banks nowaday,this paper believes that chinese commercial banks could use the KMV model to measure and manage the credit risk by perfecting the data base of companies and by amending the model. Moreover,by amending the internal management system,creating the effective external monitor system,constructing external social credit environment,building the risk prevention and compensation,Chinese commercial banks could manage the credit risk by many methods and in many ways thus to make progress in managing and reducing the credit risk...
Keywords/Search Tags:Credit Risk, KMV Model, Distance to Default, Expected Default Frequency
PDF Full Text Request
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