An Empirical Study Of The General Adaptation On China’s Commercial Banking Customer Credit Risk Measurement By KMV Model

At present, the credit risk measurement is one hot topic of discussion and study whether at home or abroad. It’s also a major challenges of china’s financial market after she went into the WTO. The traditional credit metrics and means, such as financial factors analysis, have been lagging behind in today’s new situation of the rapidly changing society, it also can not meet the need of commercial banks on credit risk quantification and management. Therefore, finding a new credit risk measurement which adapt the China’s national conditions has important theoretical and practical significance.Scholars in China have researched almost all the traditional credit risk measurement, but most of their researches are Empirical Analysis about the domestic enterprises. The modern credit risk measurement techniques and model is still in its infancy, which are mainly concentrated in the credit monitoring model (KMV Model) for breach of contract analysis. There are few of empirical researches base on the Chinese commercial bank credit. In default analysis of the KMV model, most of the researchers and related literature argue that the KMV model and its adjusted version base on the China’s national conditions have a general adaptability.In this paper, I adjust the KMV model by referring to the previous study of the Chinese scholars, then test and verify the adaptability of the adjusted version of the KMV model in China by MATLAB and SPSS.and the results of empirical analysis shows that even the improved KMV model, does not have universal adaptability in China.This paper is divided into five chapters:Chapter one discusses the background and significance of the study, and explains the content and framework of this research;Chapter two analyzes and regress the domestic and international academic literature; Chapter three has a systematic exposition on the credit risk management and the measurement methods, then it introduces and compares the four kinds of modern credit risk measurement model, whose advantages and disadvantages are found at last;Chapter four describes the theoretical basis and the basic framework of the KMV model;Chapter five test and verifies the adaptability of the KMV model in China by computing the default distance and expected default frequency;Chapter six is the conclusion and outlook.