The Credit Risk Measurement And Economic Capital Allocation Of Small And Medium Commercial Banks

Began at2007, the American subprime crisis became financial crisis all over the world, and the happening of credit default risk greatly impacted on the commercial banks globally. Hence, Since2009, Basel Committee on Banking Supervision has published "The new Basel Capital Accord", enforcing capital limitation, strengthening the continuous supervision of current capital requirements. China Banking Regulatory Commission formally published "The Capital management of commercial banks (for Trial Implementation)", and economic capital became the scarce resource, limiting the rapid development of commercial bank capital scale. Based on credit risk scientific measurement, commercial banks must reasonably allocate the economic capital of credit asset, trying to improve the level of economic capital management and enhancing the core competitiveness.The credit risk measurement technology developed rapidly and maturely abroad. The KMV model developed by American KMV company in1995was the most widely used model, the advantage of KMV was that KMV connected default to company’s characteristics instead of company’s primary credit rating, which was sensitive to the quality of debtor. The credit risk management of domestic small and medium commercial banks mostly adopts qualitative analysis or Coefficient method in Basel Agreement--that is, the standard method of measurement, which was not accurate for credit risk measurement result.The thesis applied foreign and mature KMV model, choosing16public companies as samples to implement positive study. Based on publicly disclosed financial statement and stick closing price, adopting EXCEL, Matlab and some other softwares to calculate stock price volatility, asset price volatility, default distance and expected default ratio, comparing the data of ST company with that of non-ST company, applying T testing of Two Paired Samples and Wilcoxon Signed Rank Testing to examine the calculated results.Through comparing credit risk measurement methods and economic capital allocation methods, the thesis adopted the unexpected loss allocation method to implement the positive analysis for the economic capital allocation of credit risk based on the calculation of KMV model on public company’s expected default ratio. By comparing with most previous researches, this thesis made systematical analysis from credit risk measurement and measurement result testing to economic capital allocation, which was more systematical and more practical.The positive analysis in this thesis illustrated that KMV model could recognize the differences of two types of corporations’credit risk, basically reflecting the real credit situation of corporations, implying that the KMV model, whose parameters were regulated, was still applicable; According to the expected default, the unexpected loss of borrowing enterprise’s single loan and that of enterprise loan portfolio could be calculated in order to get the necessary allocated economic capital of commercial banks, which was allocated to all specific businesses or specific departments according to the ratio of unexpected loss.