Research On Credit Risk Of China's Commercial Banks Based On CPV Model With Optimization

In recent years,China's national economic growth rate has slowed down.As a result China's banking industry credit default rate has continued to rise,commercial bank asset quality and operating conditions continue to decline,and credit risk is growing.This paper carries out credit risk research,which aims to provide information on the impact of macroeconomic drivers of financial institutions' credit risk,and then determine the risk level and anti-risk ability of China's commercial banks in the face of potential macroeconomic fluctuations.The stability of the system has very important practical significance.This paper conducts an academic investigation on the credit risk of China's banking industry,summarizes and analyzes related research literatures at home and abroad,comprehensively considers the applicability of the modern credit risk model in China,and finally uses the CPV credit risk model to conduct research on the non-performing loan ratio of commercial banks in China.In the empirical part,the most commonly used non-performing loan ratio is selected as the credit risk indicator.A total of 38 quarterly data of 2008Q1-2017Q2 is selected as the training data set of the credit risk prediction model.The total data of 2017Q3-2018Q2 is the forecast test data set.GDP growth rate,consumer price index growth rate,broad money supply growth rate,total import and export growth rate,general public fiscal revenue growth rate,fixed asset investment price index growth rate,one year futures benchmark interest rate,society The total retail sales growth rate of consumer goods,the average sales price index growth rate of commercial housing,the growth rate of manufacturing purchasing managers index,China's comprehensive marketization index,Shanghai Composite Index and other 12 macroeconomic variables as independent variables.construct a CPV model of commercial banks' credit risk.The credit risk measurement model is established by least squares multiple linear regression and Lasso regression,and the two methods are compared.Finally,the CPV model based on Lasso has better prediction performance.Finally,based on the Lasso idea,a credit risk measurement model was established for the main five types of commercial banks in China,and analyzed.According to the model,in terms of bank credit risk,the growth rate of broad money supply has a negative impact on commercial banks other than foreign banks;the growth rate of manufacturing purchasing managers' index has a negative impact on state-owned commercial banks.The comprehensive marketization index has a positive impact on joint-stock commercial banks and city commercial banks,and has a significant negative impact on foreign commercial banks.Finally,according to the credit risk model obtained in this paper,the stress test of different degrees of impact on China's overall commercial banks is carried out.The results show that after a severe shock lasts for one year,the non-performing loan ratio will be equivalent to the financial crisis period,and the risk management level of China's overall commercial banks.In order to control the credit risk faced by commercial banks and improve their risk prevention capabilities,this paper proposes that the government maintains a loose and stable monetary policy,promotes the reform of state-owned enterprises,and accelerates the marketization process of provinces and cities with low marketization,and controls the stable housing prices.Learn from foreign banks,improve credit databases,and harmonize statistical standards.