The Analysis Of State-Owned Enterprise Credit Risk Of Commercial Banks Based On VaR

Credit risk is the main risk to commercial Banks, and is also one of the important reasons lead to bank failures, its direct manifestation is the rise in non-performing loans ratio and bad loans.Enterprise without ability or willingness to timely and fully repay the bank loan, then the default behavior occurs, and resulting in credit risk.In essence, the generation of credit risk is caused by many external factors and internal factors.Due to the impact of the global financial crisis in 2008,at the end of 2012,our c ountry commercial banks’bad loans and non-performing loans ratio have been falling in the"double down" golden development period, the non-performing loan ratio of ba nking rebounded, and bad loans stay at a higher level. According to relevant data, th e great part of commercial bank lending loans went to large and medium-sized state-owned enterprises, at the same time, based on the nature and characteristic of the sta te-owned enterprises, so the state-owned enterprise credit risk problem again aroused people’s concern. Therefore, using the corresponding econometric method, doing empir ical research and analysis on the credit risk of state-owned enterprises is particularly important.On the choice of econometric method, VaR method as an international common methods of credit risk measurement and management, has complete theory base, is relatively simple and convenient calculation, and is applicable to the analysis of the state-owned enterprise credit risk of commercial Banks in China. However, there are several credit risk measurement models based on VaR, this article comparatively analyzes KMV, Credit Risk+ and Credit Metrics models, at the same time, in view of the research object of this paper are listed companies, so KMV model is selected as econometric model. Finally, based on the analysis of the current credit risk situation and existing problems of state-owned enterprises, this paper combines the result of empirical analysis, putting forward relevant policy suggestions for the ascension of our country’s commercial bank credit risk management level.respectively from the aspects of the application of credit risk measurement model, the state-owned enterprise credit risk management and good credit environment built.