An Research On Macroeconomic Impact On Commercial Bank Credit Risk

According to domestic and international research related to credit risk, this thesisanalyses the China’s commercial banks credit risk and describes credit risk identification&measurement models in the development of our country. This thesis takes the default todistance of KMV model as a starting point in the micro level and empirical analyzes theapplicability&limitation that default to distance used as an indicator to identify the creditstatus of listed companies. In the same year of the external macroeconomic conditions withno changing, default to distance can be used as an indicator to measure the corporate creditcondition. But for panel date, due to the different macroeconomic condition affect thecredit status of the corporate, the recognition accuracy declines significantly if use defaultto distance only. Then we improve the accuracy by introducing macroeconomic variablesand build Logit regression model. In the macro level, we empirical analyze the Correlationbetween the macroeconomic variables and non-performing loans of commercial banks. Theresult show that GDP growth, fixed asset investment growth and SSE index returns arenegative correlation with non-performing loans, and that the change of CPI and SSE indexare positive correlation with non-performing loans. At last, based on empirical analysisresults, we provide policy recommendations for the commercial banks and governmentregulatory agencies that relax the credit policy and build a friendly financial environmentfor enterprises when good economic development and that be alert to potential credit riskin recession or high inflation.