The Study Of Credit Risk Of Chinese Commercial Banks Based On CPV Model

Credit risk is one of the most important and influential risk on the financial market.With the financial industry opening to the outside world and the rapid development of economy,the traditional of people from all walks of life to measure credit risk which in the current our country economic society challenges occur on economic and social circumstances.So we should relocate the measurements and management measures of credit risks and establish new credit risk measurement model which adapted our new national conditions and current financial market.This paper introduces the background and significance of the research on the credit risk of commercial banks,and introduces the status of the research on commercial bank credit risk at home and abroad as well as the research on the CPV model.Then it introduces several traditional and modern credit risk measurement methods,and compares the application of these methods.Then,based on the analysis of the risk management situation of commercial banks in China,the current situation and existing problems of risk management are discussed.Finally we use the CPV model to measure the credit risk of Chinese commercial banks,the modeling and analysis work mainly includes the following aspects:Firstly,we choose the appropriate macroeconomic indicators data,collect data and use mathematical statistics to adjust the data for inflation to make the data of different quarters more comparable.Then,using Census X12 method to adjust the data seasonally.Secondly,using SPSS software to process data standardization,and then to test the stationarity of data.Thirdly,using the data from each quarter of 2010 to 2016,we establish a regression model to measure the credit risk of commercial banks and test the model.Fourthly,the relationship between the bad loan ratio and the macroeconomic composite index in the CPV model is converted to calculate the non-performing loan ratio in the first quarter of 2017.