The Management Research Of The Credit Risk Of China’s Commercial Banks Based On CPV Model

Financial institutions pay more concern to risk control after the U.S. sub-prime mortgage crisis. Credit risk as one of the most important elements, how to improve the management of it have become a critical issue for commercial banks in China.In this thesis, qualitative analysis and quantitative analysis are both adopted. For qualitative analysis, the status and problems of credit risk management are introduced. Through the comparison in current credit risk measurement models, it is concluded theoretically that the CPV model has an advantage in China. For quantitative analysis, a lot of data has been collected. The result shows that five macro-economic indicators such as GDP Growth and CPI well explain the Y value in the CPV model, the goodness of fit of which has been reached up to97%.Based to the transition relation between default rate and Y value, the indicators above can also fit the default rate well. This thesis proves the applicability of the CPV model in China’s macro-economic environment through qualitative analysis and quantitative analysis.Finally after the summarization, the thesis proposes methods of optimization of credit risk management of the commercial banks through internal and external environment.