Research On Credit Risk Evaluation Of Chinese Commercial Bank

Credit risk measurement is an eternal topic in the management of commercial banks. Recently, with the development of financial and economic globalization, commercial banks are facing more and more big and complicated credit risk. Therefore, the society has focused on how to effectively control and measure credit risk. At present, because of the particularity of Chinese economic system, Chinese commercial banks always use the traditional methods (such as:credit analysis method, the expert experience judgment method) for measurements of credit risk, but this way of measurement can not satisfy the requirements of the credit risk measurement on the enterprises. Therefore, studying foreign advanced credit risk measure model from the foreign countries, developing the credit risk measure model suitable for the Chinese national condition are significant to improve the management ability of credit risk in Chinese banking.This paper focuses on introducing four modern risk metric models’ basic theories, characteristics and their advantages and disadvantages, and make the comparison of the five aspects of the model itself besides the application in China, these five aspects include:the definition of the risk, credit risk, risk factors driving the volatility and relevance, recovery and the applicable scope. According to the present situations of the Chinese commercial bank credit risk’s characteristics and management. We choose the KMV model and make certain fixed to the equity and default point of the model. Then we set the data of Chinese listed companies as samples to measure the credit risk of the Chinese commercial banks, the main conclusions are the following:(1)The effect is good to use the default distance and default probability to measure the listed companies’defaults. At present, because China has not had a huge database as the KMV company, so we can’t get experience EDF through default distance, but we can use the default distance and default probability to measure the listed companies’ defaults. It will play a very good effect. The empirical shows that the credit risk of ST company is larger than the normal company’s credit risk. So it is showed that this method has certain prediction ability to measure the Chinese listed company’s credit risk, so as to warn the banks to make decisions to prevent risks earlier.(2)The default point setting of "Current liabilities+0.75by Long-term liabilities", the result is more suitable for Chinese enterprise credit conditions. In the KMV model, the determination of the default point is one of the main steps. KMV company get a verification through a large number of default events. When the default point is set for "current liabilities+0.5by long-term liabilities", it can more reflect the defaults of the listed companies. It is worth to consider that whether it is suitable for the economic system of China. Therefore, on basis of the determination of the default point, this paper adds a default point. It is "current liabilities+0.75by long-term liabilities". We use the two default points to calculate their own default distances and default probabilities, and then determine the feasibility of the two points through the simple mean inspection and T testing method. These two kinds of the default point all can pass the test, but when the point is "contract breaching point=current liabilities+0.75by long-term liabilities", the result is more suitable for Chinese basic situation. This is different from the result of the KMV company, the reason of the result is because of the serious lack of the credits in Chinese enterprises. Objectively speaking, the enterprise will not appear default phenomenon until the enterprise’s total debt is higher than the value of the enterprise assets to a certain proportion. Therefore, KMV company sets the default point as "current liabilities+0.5by long-term liabilities" is more appropriate. But because the lack of the credit in Chinese listed companies is serious, In order to avoid losses, a lot of enterprises will appear defaults when the value of their assets declined but has not less than total debt. Therefore, the default point is set as "current liabilities+0.75by long-term liabilities" is more suitable for the Chinese enterprise to measure the credit risk.In order to strengthen the credit risk management of commercial banks, improve Chinese commercial bank credit risk measurement accuracy and scientific. First, we must strengthen the culture consciousness of the modern credit risk management; Secondly, we need to establish and perfect the relevant credit mechanism; Thirdly, we need to establish the credit database; At last, we should establish scientific and effective credit risk measure model to make the all-round measurement of credit risk.