Measuring The Credit Risk Of Chinese Commercial Banks

With the accelerated reformation of the financial system in our country, the domestic banks are facing more and more severe international competition. The commercial banks gradually realized that they must effectively measure and control various risks in order to win the competition with others. There is no doubt that the credit business plays a significant role in the commercial banks, so what is more important is to measure and control the credit risk of commercial banks. The commercial banks should learn the advanced management concept about credit risks and develop the appropriate model measuring credit risk that commercial banks encounter, to enhance their ability of credit risk management and to make it fit the requirements of New Basel Capital.Based on the materials we collect, this paper combines the theoretical model and empirical research to compare the main contents, advantages and disadvantages and suitable conditions about the overseas advanced credit risk evaluation model. We can conclude that KMV model is the most suitable model to measure the credit risk what commercial banks are facing in the theoretical analysis, we can also obtain that KMV model is adaptable in the empirical study. And above all, as one of the modern credit risk measurement models, KMV model is the best. Because the theoretical basis of the model is strong, and the parameters needed are available.The innovation of this paper is that the KMV model is corrected properly on the basis of previous studies, by redefining the default point of enterprise and introducing the parameters such as the growth rate of asset value which improves the precision of KMV model that measures the credit risk.This paper is divided into four chapters. Firstly, it mainly introduces the background and significance of the thesis, reviews the foreign and domestic materials, and analyzes the research methods and innovative points. Secondly, this paper summarizes various models about credit risk measure. It introduces the definition and characteristics of credit risk, the requirement of the Basel capital and the classification about the credit risk models. Thirdly, the application of modern credit risk evaluation model in commercial banks is discussed, including analyzing the method of credit risk evaluation in commercial banks, comparing the feasibility of the application of the modern credit risk, and researching empirically KMV model'application. In the end, the deficiency in this paper has been pointed out, and the solution to this question using the KMV model has been put forward.