Research On Credit Risk Measurement Of Chinese Commercial Banks Based On The Modified KMV Model

As the financial market liberalization, private banks access policy ice graduallyindicatethe financial reform comprehensive China has quietly accelerated in the policy. Under thebackground of global economic integration of China’s commercial banks will face greaterchallenges. Competition and opportunities,how to prevent and control the risk of commercialbank is the major problemfacing China’s banking industry. However, credit risk is the mainrisk of commercial banks, the main reason is the bank insolvency. In credit risk management ofour country still lags behind the world level, how to reduce the Commercial Bank of ourcountry and the world bank industry gap, how to make good use of the existing credit riskmanagement tools to improve thecompetitiveness of China’s commercial banks in the world, isto explore China should issue.In this paper, the credit risk theory, summarized the basic content of credit risk,discussesthe method of domestic and international credit risk management of qualitative andquantitative analysis, by comparing the foreign credit risk measurement model, discussing theapplicability in our country, compared with that of KMV model has a strong applicability, andon this basis, combined with China’s the KMV model is modified by using themodified model, the credit risk of24listing Corporation in Shanghai and Shenzhen two city isanalyzed and itsvalidation. The results show that, the modified KMV model can in a listingCorporation after before default forecast a sharp decline in their credit quality,which canclearly observe the dynamic change trend of its credit quality, can well predict credit risk.