Empirical Research On Credit Risk Assessment Of Commercial Banks Based On KMV Model

Credit risk has always been one of the most important risks for commercial banks in the course of their business development,so accurate measurement and effective management of credit risk will be very beneficial to the safe and stable development of commercial banks.It is also beneficial to the stability of the entire Jinrongshichang and the healthy development of the national economy.The credit risks faced by financial institutions are also more complicated and diversified.The traditional techniques and concepts of credit risk measurement and management can not meet the new problems that arise in today's market,nor can they meet the needs of business entities for scientific measurement and effective prevention of credit risk.Therefore,on the basis of the advanced credit risk measurement technology and experience of foreign countries,the commercial banks of our country must make amendments when introducing the foreign credit risk measurement model to accurately quantify the credit risk faced by Chinese commercial banks.Improve the ability of credit risk management of commercial banks.Therefore,on the basis of the advanced credit risk measurement technology and experience of foreign countries,the commercial banks of our country must make amendments when introducing the foreign credit risk measurement model to accurately quantify the credit risk faced by Chinese commercial banks.Improve the ability of credit risk management of commercial banks.This paper takes credit risk measurement and assessment of China's commercial banks as the research direction.The first two chapters explain the significance of the topic,the specific research content,and the meaning of credit risk of commercial banks,focusing on the review of domestic and foreign literature on the measurement and assessment of credit risk of commercial banks,and on the basis of comparative analysis of modern credit risk measurement methods.It is concluded that under the guidance of the new Basel agreement,the commercial banks of our country can consider adding KMV model to their credit risk measurement model.The third chapter of this paper,based on the reference of existing literature,combines the development of our industry with the three parameters of the company's equity value,default point and asset value growth rate.Chapter IV uses a modified model to estimate the parameters such as the equity value and the volatility of the equity value of the sample company,and uses Matlab software to export the company's asset value,asset value volatility,and default distance.The theoretical expected default rate EDF is not discussed because there is no realization condition.The credit risk faced by commercial banks has a significant degree of difference in terms of the type of enterprise industry.Each financial institution adjusts the industry preferences according to the market environment,and after comparing and analyzing the default distances of the six sectors,The conclusion is that the default distance of the modified KMV model can effectively identify the difference of the credit risk of companies in the sample industry.Finally,according to the industry difference of KMV model,the variable factors are used to construct regression model to demonstrate the influencing factors,and the empirical results are analyzed and reasonably explained.At last,the paper puts forward the improvement scheme for the KMV model in the application of Jinrongshichang in China.