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Research On Bank Of Jinzhou's Credit Risk Assessment Based On KMV Model

Posted on:2018-03-15Degree:MasterType:Thesis
Country:ChinaCandidate:Y R SunFull Text:PDF
GTID:2359330515499465Subject:Financial
Abstract/Summary:PDF Full Text Request
Credit risk is one of the most important contents of the bank's risk management.The measurement and evaluation of credit risk play a role in maintaining the healthy operation of the banking industry,improving the efficiency of capital allocation,better serving the real economy and stabilizing the market order.According to the CBRC's 2015 and 2016 statistics,the balance of nonperforming loans and nonperforming loans of various types of banks in China are on the rise,which shows that the current credit risk of commercial banks in China is increasing.Bank of Jinzhou's business development for several years,not only successfully listed in Hong Kong,and its market share in Jinzhou City,far more than four major state-owned banks,the formation of a unique phenomenon;due to the characteristics of the city's own banks,customers have doubts about bank of Jinzhou's credit risk level.Bank of Jinzhou's credit risk assessment can undoubtedly clear the conclusions,while helping bank decision makers to improve the level of credit risk to avoid the healthy operation and development of the bank.Therefore,based on the financial statements of bank of Jinzhou in 2015 and the stock trading data of banks in 2016,the paper used the KMV model and selected four other typical city banks(Bank of shengjing,Bank of Harbin,Bank of Qingdao,Bank of Chongqing)and bank of Jinzhou have conducted a credit risk assessment,the study found that Bank of Jinzhou's default distance is relatively small,the probability of default is relatively large;credit level in the Moody A1,Standard & Poor's in AA / A.In such a high credit risk and in the adverse circumstances of small and medium-sized cities,Bank of Jinzhou got 131.2% net profit margin in 2015,it's credit risk did not break out.Bank of Jinzhou's credit risk was in a higher level,but it is still in the controllable range.In addition,Bank of Jinzhou has a strong credit risk control capabilities.According to the empirical analysis of the conclusions drawn,the paper puts forward corresponding suggestions for the credit risk management for bank of Jinzhou: Firstly,bank of Jinzhou should enhance it's asset adequacy ratio and deposit and loan ratio;secondly,it can strengthen the awareness of staff risk awareness;thirdly,it can absorb more specialized risk management talent;fourthly,bank of Jinzhou should promote inter-bank cooperation to establish a common risk database of default.At the same time,it can be introduced by other listed banks according to their actual situation,the establishment of KMV model to assess its credit risk,analysis of their own credit risk situation.
Keywords/Search Tags:credit risk, KMV model, default distance, expected default frequency
PDF Full Text Request
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