Study On The Measurement And The Factors Of Commercial Banks Credit Risk In China: Based On The KMV Model

In this paper, we study the commercial bank's own credit default rate and its internal factors. Through analyzing the current situation of the commercial bank's credit risk of our country from the perspective of non-performing loan ratio, it is concluded that China's current commercial bank credit risk as a whole is low but rising. Then, choose the typical 16 listed Banks in China as samples, using the KMV model that is suitable for measuring the credit risk of listed companies to measure out the EDF value of default rate, calculated result shows that the default rates of 16 listed bank credit is lower overall but is on the rise, with the non-performing loan ratio reflects its own credit risk condition. Further explore the internal influence factors of commercial bank's own credit default rates, empirically the main five commercial Banks internal operation index and EDF value, the linear relationship between the line and at EDF value quantile regression, the conclusions show that the commercial bank capital adequacy and liquidity ratio are negatively correlated to its credit default rate, Banks loan-to-deposit ratio and return on equity are positively correlated to credit default rates; Commercial Banks operating income growth rate minimal impact on its own credit risk degree; Commercial Banks in different default rate range, the marginal effect of each index is different. On the basis of the empirical conclusions, in order to reduce commercial bank's own credit risk, suggest appropriate to improve the capital adequacy ratio and liquidity ratio, lower yields and loan-to-deposit ratio appropriately, in different credit default EDF value interval, can focus on adjusting the management target to reduce its own credit risk; For the prevention and control external risks and improve their management quality, standardize the credit approval process and perfecting the credit risk early warning system.