Commercial Banks Based On Real Options Theory Of Credit Risk Measurement And Management

For the commercial banks, it is vital to manage credit risk healthily. Along with the further opening of financial market, the competition among banks will be fiercer and fiercer. Thus, the Chinese commercial banks urgently need to raise the credit risk management level. In order to strengthen the core competition complicity and exploit international market, this article systematically researches measurement technology and management ways of credit risk.In the basis of predecessors' studies of the KMV model, this article expanded the KMV model, mainly including: (1) utilize the real option theory to appraise the value of management flexibility (namely the manager's ability of recognizing information and managerial control), and research the problems of real option price when the assets follow the geometry Brownian movement,the Poisson process and the jump-diffusion Merton process; (2) use the financial option to research bond value under the condition of stochastic interest rate, and don't take the supposition that the bond's value is equal to its face value; (3) utilize GARCH model to fit the volatility of stock value, and don't use the traditional historically fluctuation rate; (4) establish the pricing method of real options under the condition of considering the managers' ability of recognizing information and supervisory control; (5)based on the simulation tool of matlab, we established the numerical analysis and simulation procedure under the condition of exiting cost and doesn't exiting cost. Then, we concluded that the appraised level of credit risk figured out by the traditional KMV model is higher than that computed by the improved methods. After measuring the credit risks, we introduce how to manage credit risks using the credit derivation tool as well as the VaR methods.