An Empirical Research On Credit Risks Of Commercial Banks In China Under The Post Financial Crisis ERA

The global financial crisis of2008first began in the United States, in April2007, America’s second largest subprime mortgage lender was asked for bankruptcy protection, the financial crisis emerged in the United States, especially when Lehman Brothers went bankrupt, then the crisis spread out to the financial institutions in Europe、Asia and other regions, finally it came out to be a worldwide crisis. From2009, the governments of every economic entity introduced macro policies and measures and eliminated the panic among the citizens, which we call the post crisis era. In this phase, the crisis still exists in some area, such as the current Europe Debts’s Crisis, and some European banks nearly go bankruptcy. In the post crisis era, banks in China also face challenges, the uncertainty in macroeconomic environments also gives more stress and more strict requirements to credit risk managements of commercial banks. In2010, the Basel Ⅲ gives commercial banks a new way on capital supervisions and credit risk controls. According to the research of Basel Committee, credit risks account for about60%of the total risk in bank system.My essay will center on the credit risks of commercial banks, make a literature review on the causes and management methods of credit risks, and then introduce the Basel Ⅲ and the KMV model, and do the empirical analysis on three types of commercial banks, which including Stated-owned Commercial Banks, Joint-stock banks of nationwide and municipal united banks, then I will use the KMV model to measure the credit risks of banks from2008to2012, get Default Distance and Expected Default Frequency of11banks by setting Default Point, conclude the Stated-owned Commercial Banks is best on credit risk control, and the other two types are quite close. After the first step, I will calculate the credit risk level of bank industry(2008-2012), and then introduce three explanatory variable, monetary liquidity (M2/GDP), assets scale(TA), profitability(ROA) and non-interest income(NINC), use the econometric model to see the influence of each element, then explain the influence of each element, lastly, I will illustrate some policy recommendations on credit risk management for commercials banks in China.