Kmv Model Of Commercial Bank-based Credit Risk Measures

Credit risk measurement is the base of credit management, which is the kernel of bank management. Because of a large amount of bad property in bank and the competition with foreign banks, the improvement of credit risk measurement level become the important project for domestic banks.China's commercial banks are lack of the ability to manage credit risk quantitatively, and they seldom use models in dealing with credit risk. This paper endeavor to study credit risk management in our commercial banks from the perspective of quantitative analysis, and analyze the applicability of various types of credit risk models in China .This paper also investigates the credit risk profile of some listed companies in our country on the basis of the parameters-adjusted KMV model. The auther use the parameters-adjusted KMV model to evaluate the credit risk of ST(special treatment)and Non-ST companies and test its ability to recognize the credit risk during four years, the first three years is before the Share reform,the last year is after it. The results show that this model can properly identify that the credit risk of these two kinds companies under the two, the method that using distance to default (DD) to estimate the credit risks of listed companies is feasible.