An Empirical Study On The Credit Risk Of Commercial Banks In China Under The New Normal Conditions

In the background that China has entered a new normal situation, this paper takes 16 listed commercial banks as the object of study. Based on the financial data and stock transactions data of sample banks from the first quarter of 2012 tothe fourth quarter of 2015, we use the KMV model to make credit risk empirical analysis of sample banks.The empirical results show that, from the longitudinal dimension of time, default distance volatility of large state-owned banks is the largest compared with the national joint-stock commercial banks and city commercial banks at the macro level, and the scope of change of nationwide joint-stock commercial banks and city commercial banks are relatively small.In the first half of 2015, these three banks are relatively close in size and changes in trends are slowly running at a lower level, this paper believes that the stock market rises and falls could be not only be the reason but also be the result of the smaller default distance in 2015. From the horizontal point of view, the default distance of China's large state-owned commercial banks is much bigger than the national joint-stock commercial banks'and city commercial banks'in the same period, while the expected default probability is far lower than the other two types of banks in the same period, which reflecting the strong credit risk control ability of China's large state-owned commercial banks, and it may be due to large-scale capital of large state-owned banks, so the local risk can rely on a sufficient amount of capital dilution. In addition, large state-owned bank dominate the deposit market share, and the innovative business is not rich enough, thereby reducing credit risk. For the national joint-stock commercial banks and city commercial banks, both of them in default distance and the expected probability are about the same, but the former is slightly higher than the latter as a whole. The former face greater pressure of market competition, and is not stable in customer base, the asset quality of which needs to be improved, while operating efficiency of the latter is better of city commercial banks, asset quality of which is relatively higher, so the ability of resisting risk is stronger overall.In addition, this paper analyzed the factors affecting the level of credit risk from four perspectives of national economic development period, commercial banks' internal management mechanism, the efficiency of government intervention and regulation of financial regulators.