| The report of the 19th CPC National Congress demand Chinese to beats the three financial battles,the first and biggest is the financial risk's precaution and solution.The Central Economic Working Conference,which be convened after the 19th CPC National Congress,emphasized it again.All of it reveal that how government attaches importance to precaution and solution on credit risk.At present,multiple economic backgrounds are superimposed on China,and financial risks are still on crisis period,and preventing risks is inextricably linked to the country's economic development and social stability.Credit risk is particularly prominent among these risks,which can not be ignored in the financial market.In recent years,the non-preforming loan rate has increase sharply year by year,which makes the banking facing the financial risk constantly.How to identify,accurately measure,early warning and avoid it has become the primary consideration of commercial banks.Firstly,this paper combs the current research in the field of risk measurement by scholars,compares and analyses the four popular risk models,and finally chooses the KMV model which has the advantages of applicability,easy access to data,foresight and batch quantification to apply in this study.The KMV model is a model to measure the default risk of enterprises based on Option theory,mainly through the default distance of enterprises and the default risk of enterprises.If we judge the reverse relationship of default risk,the greater the default distance,the smaller the default risk.On the contrary,the smaller the default distance,the greater the default risk.However,China's national conditions are different from those of Western countries.KMV model has some deviations in calculating Chinese enterprises.According to the actual situation of our country,this paper adjusts the parameters:enterprise asset value,risk-free interest rate.Secondly,this paper conducts empirical analysis from two perspectives of industry and region.170 listed companies are selected according to industry equidistance as the research object.The time span is from January 1,2016 to December 31,2016.From the perspective of industry,empirical results are observed from four angles:three major industries,cluster analysis,standard deviation and default distance.From the perspective of region,empirical results are analyzed from four major economic zones and all sample provinces and municipalities.The following rules are found:1.The default risk of the second industry is the smallest,and that of the first industry is the largest;2.The default risk of labor-intensive industries is the smallest,and technology is the smallest.The default distance of intensive industries is the largest;3.The standard deviation is inversely proportional to the default distance?the high capital intensive industries do not conform to this rule?.Combined with the standard deviation,the linkage among individuals is analyzed.The larger the default distance is?the smaller the default risk is?,the smaller the standard deviation is,the greater the linkage among individuals of a certain industry is;4.The order of the default risk of the four economic zones from small to large is as follows:The enterprises with low default risk are mostly concentrated in the eastern coastal areas.Finally,this paper summarizes the results of the analysis from two perspectives,and combines the distribution of credit risk and the current situation of commercial banks in China,and puts forward three suggestions for the healthy and steady development of China's economy and the popularization and application of KMV model:strengthening the professional training of primary industry producers,promoting the development of the western region to form a new pattern,and improving the accuracy of KMV model in measuring default risk?establishing default risk number?.We should strengthen the supervision of the securities market,establish a suitable credit risk evaluation system for commercial banks. |
PDF Full Text Request