Measurement On Credit Risk Of Chinese Commercial Banks On CPV Model

The american financial crisis caused by the subprime mortgage crisis has brought a huge blow to the united states, a number of large banks have been closed down. Subsequently, the financial crisis has swept the world quickly, and has brought huge losses to the world economy.In the end, the cause of the crisis is poor credit risk management. At present, our country commercial bank middle business accounts for the relatively small, mainly to earn a net interest income as the main source of income, loan funds account for a large proportion of total assets. In recent years, non-performing loan ratio dropped significantly, and has remained at a reduced level. But this does not mean that China's commercial banks have a higher level of risk management. Due to historical factors, there is a huge problem of non-performing loan ratio structure, and there is also a big gap on the risk management level compared with the developed countries in the West. For the commercial banks in China, it is urgent to strengthen the management of credit risk.In the credit risk research, the qualitative risk measurement method occupied the main position in the early stage of the risk measurement. In the recent years, the quantitative analysis method is more widely used.and more,and more use of modern risk measurement model. The CPV model of the modern risk management model is based on the macro economic factors of a country or a region, taking into account the impact of macroeconomic factors on the credit risk of commercial banks. Not only can we measure the credit risk, but also can find out the factors that affect the credit risk and the degree of the impact of the factors on the credit risk. This provides a sufficient basis for the risk management and risk control department to predict the risk and prevent risks. In terms of the current commercial banks in China, the CPV risk measurement method based on macro economic factors is more suitable for China's financial environment such as lack of data support and imperfect capital market.After a brief analysis of the four models, we can find that each model has its own advantages and disadvantages, and it also has different applicability. In view of the applicability of the model in China, the KMV model is more suitable for the capital market and the credit management level. The Risk+ Credit model is more suitable for loan portfolio risk measurement. Metrics Credit model is more suitable for the data. The CPV model can effectively solve these problems. In terms of these four models, the CPV model is more suitable for the measurement of the credit risk of commercial banks in China.In the empirical research part of this paper first briefly introduces the principle and modeling process of CPV model. Then, choose the relevant macroeconomic indicators using CPV model for empirical analysis. In terms of macroeconomic indicators, based on the principle of comprehensiveness, representativeness, availability and reference the experience of forefathers' research,seven economic indicators were selected for the study. These seven indicators are the gross domestic product (GDP), consumer price index (CPI), per capital disposable income of urban residents (SR), total investment in fixed assets (GD), total retail sales of social consumer goods (SXL), the total amount of money supply (M1), total expenditure (CZ). Data are derived from quarterly data released by the China Statistical Yearbook, first quarter 2005 to third quarter 2015. Among them, the first quarter of 2005 to the second quarter of 2015 as a sample of the sample, the third quarter of 2015 as a sample of the test sample.Then, the index selection and data preprocessing are carried out. SPSS entering way is adopted to screen the index. CPI index method is used to eliminate the inflation factor, and the twelve step moving average method is used to eliminate the seasonal factors, and the logarithm of the index is used to eliminate the difference. Through the model, the total financial expenditure (CZ), the narrow money supply (M1) and the non-performing loan ratio of commercial banks in China are negative correlation, the total investment of fixed assets (GD), consumer price index (CPI),(SR)and non-performing loan ratio are positively related.