Applied Study On Credit Risk Evaluation Of China Commercial Banks

The implementation of the Basel protocol III deepens the capital constraint mechanism which takes capital adequacy ratio as the core,which further emphasizes the importance of credit risk measurement and undoubtedly put forward higher requirements for the ability of credit risk management of commercial banks,in which caseresearching the methods to effectively measure the credit risk possesses increasing significance on risk management.Taking the new financial market environment as the background and dividing China's 15 listed banks into three samples as state-owned banks,joint-stock banks and city banks,this paper adapts the classical KMV model according to China's actual situation and investigates into the distribution of default probability and default distance among the three samples of banks.Further,this paper carries out comparison of a particular bank's credit risk during the whole time span of 2008-2015 as well as longitudinal comparison of different banks' credit risk in the same year.Besides,this paper also offers insight into the relationship between the default point setting and the distinguish effect.Finally,this paper summarizes the conclusions and explains the results.Research shows that the adapted KMV model performances well for both situations,where respectively distinguishing credit risk of different banks and distinguishing that of a particular bank at different time spots.Results also show that the joint-stock banks' credit risk exceeds the other banks for recent years.