Commercial Bank Credit Risk Management Research Based On The Modified KMV Model

Credit risk is the most important financial risk faced by the commercial banks in China at present.From the domestic situation,the existing credit risk management system of commercial banks is far from mature,the level of credit risk management is relatively backward.Especially the risk management tools and technology have a big gap compared with the commercial banks in the developed countries.So if you want the healthy development of China's commercial banks,and to participate in the fierce competition in the international financial markets,we must improve the ability of risk identification,assessment,control and so on.We must improve risk identification,assessment,control and other abilities.We can draw lessons from foreign mature risk management technology,establish scientific risk identification,measurement and measurement control system.This paper first analyzes the credit risk of commercial banks in China,the existing problems in the management of credit risk and the important position of the measurement in the credit risk management.On the basis of the applicability of four kinds of credit risk measurement models in China,we choose the KMV model as the basis model.Secondly,to improve the applicability of KMV model in our country,we modify the parameters: sequence against fat tail and leverage characteristics of stock returns,using the EGARCH(1,1)-M model to calculate the equity value volatility;for our country the presence of non-tradable shares issue,the use of net asset pricing valuation;in the default set point by calculating and testing company and the normal distance to default enterprise exists significant differences in three different default point,to elect the best default point;the risk-free rate of return using the Shanghai Interbank Offered Rate(Shibor)in order to better reflect the market-based interest rate.Finally,this paper selects the empirical analysis and test of the KMV model in our country's credit risk measure,which is the 14 of the major industries,the commercial bank loans to invest in the top 5.Finally,the suggestions on improving the management level of credit risk from two aspects of measurement and application environment are proposed.The results show that:(1)using the EGARCH(1,1)-M model to calculate the volatility of equity value,it can reflect the leverage effect between the former and the future volatility,and improve the calculation accuracy.(2)by independent sample T test,the optimal default point is DPT = 0.75 LTD + STD;(3)ST companies in general,is less than the average non-ST companies,which means that the overall risk ofdefault the company is also less than ST,which is consistent with the status quo.The theoretical probability of default and the actual situation there is a certain gap,limited theoretical probability of default of corporate credit risk recognition.(4)the level of credit risk of listed companies in different sectors of the differences are significant,which transport the largest listed company's credit risk.(5)K-S test,Mann-Whitney U test,the results show that the modified KMV model can effectively distinguish between ST and non ST company's risk level.On this basis,the ROC curve is used to express the modified model to predict the ability,and the accuracy rate is 85.7%.