Research On Credit Risk Measurement Of Property Enterprise Of Commercial Bank Based On EGARCH-KMV Model

The real estate industry is a pillar of our country.After experiencing explosive development,in order to curb the rapid development of real estate industry our country has staged a series of policies.This makes our country real estate enterprise face the severe test.There are some hidden trouble in commercial bank credit to repay on schedule.Based on this the paper stduies the credit risk of real estate enterprises from the perspective of commercial bank in order to help our country commercial banks when they do business with real estate enterprises.The main contents are as follows:In the first chapter,the research background,purpose and significance of this paper was introduced.And this chapter put forward the importance of real estate enterprise credit risk measurement.This chapter also has carried on the review to the literature at home and abroad in order to provide a theoretical basis for research methods and research content of this article.In the second chapter,according to the main object of this study,the real estate enterprise credit risk,we have defined some concepts about credit risk.There are some harm if the credit risk has happened.This chapter also briefly introduces the present situation of the real estate industry development in our country and our country commercial bank to the situation of the real estate industry credit.And for commercial banks in China at present situation of credit risk measurement is briefly introduced.In the end of this chapter,we have briefly analyzed the effect factors of credit risks of the real estate industry.In the third chapter,this chapter introduces the some ways of the measure credit risk.KMV model is put forward in combination with the practical situation of our country can be more accurate to measure credit risk.This chapter has improved the core index of the KMV model,and puts forward the EGARCH-KMV model.In the last of this chapter,According to the actual situation of our country we have improved the corresponding parameter calculation of the KMV EGARCH-KMV model.In the fourth chapter,we have contacted the empirical analysis for the improved KMV model,EGARCH-KMV model.Through empirical analysis it is concluded that the credit risk of the losses of real estate enterprise is bigger than the gaining of real estate enterprises,and the credit risk of different sizes of the real estate enterprise has no difference.In the end of this chapter,we have compared the EGARCH-KMV model with the traditional KMV model,and we found that EGARCH-KMV model can more accurately measure the credit risk of real estate enterprises in China.In the last chapter,this chapter is the countermeasures and suggestions of this article,according to the empirical results we can give commercial banks some related suggestions of real estate enterprises.