The Research Of China's Commercial Bank Credit Risk Measurement Models

Since the late 80s, with the trend of financial globalization and financial market volatility increased, national banks and investors have been never before had the credit risk challenges. World Bank studies show that the global banking crisis, leading to bank failures is primarily due to credit risk. Since China's accession to WTO, China's commercial banks face a double from the domestic and international competition, while credit risk management theory in China is still at an early stage of development of credit risk measurement relies mainly on qualitative analysis of the main stages of the traditional credit risk measurement Thus, in the new international financial situation, strengthening credit risk management and improving credit risk management as a priority of China's commercial banks.Credit risk is the oldest financial markets, a risk is the risk that the market due to a borrower or counterparty defaults caused losses. In this definition, credit products mainly refer to bank loans, and only when the breach actually occurs, will produce credit risk. However, with the changes in modern risk environment and risk management technology, this definition does not fully reflect the modern nature and characteristics of credit risk. The main reason is the traditional credit risk mainly from the commercial bank lending, due to loans illiquid, the lack of similar securities, as an active secondary market, the value of bank loan assets are usually measured at historical cost rather than the marked to market. The loss actually occurred prior to the value of bank assets and the borrower's repayment ability and there was no significant likelihood of contact. The credit risk in the modern sense of risk, taking into account changes in the environment, meaning the more abundant, not only the traditional definition of a loan default risk, but also the possibility of borrower default of changes to the risk of loss caused by bank assets.This paper is divided into four parts, as follows: The first part, this part proposed the study background of the paper and the status of our credit risk management.The second part, elaborated on the Credit Metrics model, KMV model, Credit Risk Add Credit Risk+model, and Credit Portfolio View model and model the basic idea of the respective advantages and disadvantages.The third part is the empirical part of this paper and the main part of the KMV model first set out the theoretical framework, then use the KMV model ST companies and non-ST companies to compare measurement results, the sample selection of empirical research time for the 2008 January 1 to December 31,2008. Observe whether belonging to different sub-groups based on the KMV model of default calculated from the significant difference in whether the company's breach of non-ST significantly greater than the distance ST from the company's breach of contract. In this paper, from China's commercial banks to cut into the credit risk of this problem, first studied the credit risk and its characteristics, and depth of China's commercial banks need for credit risk management, followed by analysis and comparison of the advanced credit risk measurement model and in China's commercial banks in the applicability of the analysis, the final choice KMV model to measure credit risk China's commercial banks to conduct empirical studies and model validation of the conclusions drawn.The fourth part, the part of the full text of the study results were summarized and analysis, pointed out the lack of this study and future research directions are also prospected.In empirical studies, due to the lack of historical data, can not be the actual default rate, but only the theory to calculate default rates. Theory of default rates to a certain extent be able to distinguish the credit quality of listed companies, but more because the target subject to assumptions, so that in practice the use has been limited. In the above qualitative and quantitative analysis, based on that, especially using the KMV model to evaluate the use of default from the credit risk of listed companies in China can get better results. By analyzing that, breach of contract from the more commonly used in China's current credit ratings have greater advantages, that is, its theoretical foundation more solid, more objective assessment can to a certain extent China's current accounting data to avoid the distortion, but also more in line with cost-effectiveness. Under the current BaselⅡ to be implemented in reality, come to KMV model can be used as China's implementation of IRB a transitional model in China's commercial bank's credit risk management to be widely used.