Analysis Of Credit Risk Sensitivity Of Pacific Insurance Company

Credit risk,operational risk and market risk are that main risk faced by the financial market in our country at present,among which credit risk is the main type of financial risk.it not only affect the management and development of micro economy,but also has a great influence on the stability of the whole macro economy.The manifestation of credit risk is increasingly complicated and the danger is gradually expanding.insurance companies are facing great challenges in credit risk management.Due to the special financial environment in our country and the rapid development of the insurance industry in recent years,we must pay more attention to the credit risk of the insurance industry.Therefore,the insurance company's credit risk prediction method should also be continuously improved to make the credit risk assessment results more accurate.In view of this,on the basis of systematically combing the domestic and foreign literatures,drawing lessons from relevant mature theories and successful practical operation experiences at home and abroad,and combining the development trend of China's insurance industry,this paper uses methods such as qualitative and quantitative analysis.This paper will focus on the credit risk sensitivity of China's Pacific insurance companies.The introduction of Merton option pricing method earlier made some achievements in the quantitative study of credit risk in our country.KMV company modified Merton model in order to obtain a model that can predict credit risk more accurately,and evaluated the credit risk size by calculating the expected default probability.Due to the differences between domestic and foreign financial markets,this paper corrects the default point setting and the calculation method of equity value in KMV model based on the actual situation and relevant data of insurance companies in our country.Through wind information and Sina finance and economics and other related websites,Pacific insurance company data from 2010 to 2017 are collected,sorted,processed and analyzed,and then MATLAB program is used to calculate the parameter variables,and finally the default distance is output.Then,combining with the financial indicators,the paper analyzes the influencing factors of the default distance and finds that the default distance has a positive correlation with the size,solvency,profitability and cash flow capacity of Pacific insurance companies.Finally,the conclusion is drawn and the corresponding countermeasures and suggestions are put forward for the credit risk management of Pacific insurance companies.