Based On The KMV Model Which Puts The Our Country Commercial Bank Credit Risk Measure Of Empirical Research

As an ancient type of risk, Credit Risk has been with the banking industry ever since its birth. With the development of our economy, it has also become the major risk our commercial banks have to face and the effective way to decrease the NPL (non-performing Loan) ratio lies in the change of risk measurement. When contract infringements take place, the traditional expert qualitative analysis as well as the experience-based judgment and administration are always applied. These approaches are all flawed with time lags and passive managements in that they need the pre-condition of credit-time expiration. They have been unable to effectively cope with those new problems emerging in the financial world. Therefore, we need to introduce a set of measurement model that is appropriate for the Credit Risk of our own, by which we could quantify the risks and mange them in a dynamic system. This model will help the commercial banks improve their ability in identifying, predicting and controlling the risks they might encounter.According to the financial information from our annual statement in 2011 as well as the current risk measurement adopted by our commercial banks, this thesis analyzed the status quo of the risks that confront the commercial banks and then it also points out the problems in their credit management. It also compared the popular classic model with the Credit-risk measurement model and chose the popular KMV model for its empirical study, during which the parameters concerned were modified to guarantee their applicability to the special risks in our country. The result shows that the KMV model excels in distinguishing companies of different achievements. It is time efficient if applied in China and can clearly mirror the credit changes of those listed companies. The option of default point exerts little influence to the model; the asset value of a company usually over numbers its stock value; the stock price volatility of a company is usually higher than its asset volatility.Our markets and credit system have been gradually perfected and considering the special period our commercial banks are facing, the status quo of Credit-risk management as well as the applicability of KMV in China, for a healthy development of the financial market, it is essential for us to learn those advanced international management and measurement experiences, strengthen the rating system inside and outside our banks, enhance our competitive power of commercial banks and minimize the risks or the credit loss that has taken place.