Option Theory-based Commercial Bank Credit Risk Measure

At present, Credit Metrics model, Credit risk+model, Credit Portfolio View model and the KMV models of credit risk measurement model have been approved by the academic community and the financial sector abroad,and have been applied to practice abroad. But the credit risk has some theoretical and practical issues, such as inadequate data and difficult to collect data, asymmetric distribution of credit risk, credit risk of specific quantitative measurement methods did not agree on all fields. Existing models still have some shortcomings, such as the relevant parameters may not be very appropriate setting, there is little relevant model systems and comprehensive empirical confirmation, this field of research is in the further development.Credit risk is measured by using some the financial ratio methods in China. This thesis argues that the KMV model can be quoted by using financial and market data, in combination with other evaluation models to establish appropriate credit risk assessment system of our national. KMV model in China has strong applicability. Based on the actual situation of China's capital market, this thesis tries to measure credit risk based on option theory in order to probe' into our credit risk measurement model and to more reasonably describe and measure credit risk.This thesis considers the borrower's credit risk from the bank's point of view, watches the market value of the company's assets'changes, and monitores the possible loss of the bank. We consider the borrower's ability to pay off the loan judging by amount of market value. We establish of the expected maximum loss model by defining the concept of the maximum expected loss of the bank, and by combining with some indicators of KMV model.This thesis selected ten represented industries from the many industries, selected the data of twenty listed companies as the object of study and made the empirical analysis of the loss model. The empirical result indicates that the expected maximum loss model has some applicability in our country. the model would be widely applied to the areas of credit risk of domestic in China's capital markets continue to improve the situation.