Study On The Credit Risk Management Of Commercial Bank In China Based On The KMV Model

From the western countries financial system development history,credit risk has become an important factor in the development of the commercial banks,therefore,strengthen the commercial bank's credit risk management,is worth to benoticed.From China's financial market,the commercial banks as one of the main force,although the rapid development,but in the face of foreign banks and other financial institutions enormous competitive pressure,or showing bad loans and non-performing loan ratio rose double negative status exposed the problem a great credit risk management.Therefore,China's commercial banks should take place on how reasonable and effective control of credit risk,but also become the current commercial banks need to solve the problem.Firstly,the definition of the problem and its related commercial bank credit risk analyzes,and traditional credit risk measurement tools and strengths and weaknesses of modern credit risk management tools were compared for analysis and found that KMV model as well as the data readily available less dependent on the financial statements of the advantages of China's commercial banks more in line with the listed company credit risk measurement and analysis of requirements,therefore,this paper chose the KMV model for listed companies in China's credit risk assessment,and the default point formula for a certain amount of correction in order to test the applicability of KMV model in our case.From this research,due to the manufacturing base of listed companies in our country is very large,therefore,to select a sample from the point of view of the main selected 80 representative of the Shanghai and Shenzhen listed companies in the manufacturing sector,where 40 poor operating results for the company,in addition to 40 companies for a better operating performance and is calculated analyzed in 2013 and 2014 for two years in default distance seven different point formula in case of default by matlab software.From the empirical results,the default distance of poor operating performance is less than the operating results of the company's common good company,KMV model is a good credit risk screening of the actual situation of listed companies,and with the further flow of China's stock market,KMV's applicability also to further strengthen.Meanwhile,for the selection of the optimal default point of view,when the default point formula is equal to 0.7 times the short-term debt plus long-term liabilities,KMV model is the ability to identify the strongest credit risk of listed companies.Finally,based on the best formula for the default point to a single breach of listed companies net profit of distance and a comparative analysis,the results are consistent with its actual operation,also verified the KMV model is able to identify the actual credit risk of listed companies in China trends.Finally,based on the current situation of China's credit risk management that KMV model of China's commercial banks can be corrected after the listed companies used to measure the level of credit risk.Meanwhile,in order to make the applicability of KMV model has been further strengthened,we believe that China's commercial banks should improve by strengthening internal management and credit derivatives and other measures to further improve its credit risk management.