Research On Credit Risk Measurement Of Modern Commercial Banks Based On KMV Model

The credit risk is one of the most ancient risk in the financial market,it is also the most common reason causing the bank to go bankrupt. Facing the continuous fluctuation of the financial market environment and sever competition among the foreign banking,how to improve the management level of credit risk as soon as possible has become the urgent task for commercial banks in our country. The Basel bank supervising and managing committee has officially appeared "the New Basel Agreement" in June,2004, and starts in 2006 year's end to implement comprehensively. In the credit risk processing aspect, the new agreement recommend using internal rating method that technology content extremely high, this set a higher request regarding the bank measure credit risk. At present, Western developed country banking industry has adopted the extremely advanced internal credit risk measure model, these model use current can obtain all information carry on the appraisal to the enterprise credit condition. By using these models,the bank greatly enhanced their risk management ability. As a result of historical and the system reason, Our country Commercial bank manages to the credit risk measure more is pauses in the traditional credit analysis method and the expert experiences judges stage, mainly uses the loan risk method to carry on the credit risk the measure to appraise, cannot satisfy the commercial bank to the loan security reckoning request. Studies the Western advanced credit risk measure model, discussing these models in our country application feasibility, suits regarding the development in our country national condition credit risk measure model, enhances Our country Banking industry resistance credit risk ability. That has the very high model significance.Based on this, this article used qualitative and the demonstration method to carry on the theoretical analysis and the real diagnosis examination research to the credit risk measure model. First, introduce the credit risk correlation theories, the credit risk measure model development course, divides the credit risk measure model into the classical measure model and the modern measure model two kinds, and introduce Our country Banking industry's credit risk measure method;Next, in this foundation introduced with emphasis several kind of modern measure model the primary coverage, the characteristic and the good and bad points, and have made the detailed correlation to them from model itself and China's feasible two aspects, thus obtains the KMV model to be suitable for our country at present national condition; Once more, introduce the KMV model theory in detail including the foundation and the primary coverage, introduced the KMV model the integrity, including KMV model applies in the firm come into the stock market and PFM model applies in the firm hasn't come into the stock market; and analysis the KMV model in Our country Banking industry by using our country's newest data of corporate in stock market; Finally, compare the credit risk measure method which Our country Banking industry uses at present and the KMV model, obtains the KMV model to have the superiority, may implement the Basel new capital agreement as our country the transition model to use at present in Our country Banking industry, and proposed difficulty and the solution measure of the KMV model application in Our country Banking industry at present.