The Measurement And Control Of Credit Risk In Commercial Banks Of China

Under the China's economy and financial background of financial divided Operating,interest rate marketization on its starting stage,capital market developing slowly and indirect financing that taking financial institution as the medium serving as the main way of enterprise financing,credit risk has become the main risks that commercial banks facing.With the reformation of financial mechanism and speeding up of financial opening,the commercial banks'risk management consciousnesses are enhanced significantly,and realize the importance of market operation,steady management,risk prevention for the Commercial banks.We need to do repositioning for the measurement and management of credit risk,and set up new measurement model suiting for China's credit risk managing level.This dissertation takes the commercial banks'credit risk measurement and management as the research direction, and performs investigation and discussing on the eommercial banks'traditional credit analyses,measurement methods and modern credit risk measurement methods,and with an emphasis on KMV model.Some theoretical and application discussions about the execution of some risk management methods such as KMV model are conducted.Related theories about the credit risk are first reviewed,and followed by derivation of basic theory of KMV model and analyses its applieability.The specific steps and difficulties on risk measuring process using KMV model are point out.In order to enable it fit for China's credit risk status,the KMV model's application in banks is analyzed with a combination of present situation,and applied to many fields such as default rate's calculation,internal credit rating and risk loan evaluation.Inview of its'special applicability for credit risk measurement for listed companies, the model's practical effete is analyzed using demonstration analysis the according to 4 listed companies'dates.Fluctuation rate of value of stock right, default point and market value of equity is calculated,and default distance is obtained finally.By comparing default distance the credit risk is analyzed and the result is interpreted, which shows that that model has the obvious capability of identification.Meanwhile, the application of KMV model in no-listed companies is also introduced.The main challenge of application for that model used inChina is Pointed out, and improvement schemes are proposed.Policy suggestion for the model's application is proposed, the prospect is expected.Finally, conclusions are drawn based above discussion, and further works are prospected.The MKV model has theoretical and practical reference value for commercial banks'risk management in China.