Research On Credit Risk Early Warning Of Agricultural Bank Of China

China's commercial banks have played a key role in promoting economic development.Commercial banks have the highest proportion of credit risks,and they are the most prominent and far-reaching risks they face.The credit risk early warning and management of commercial banks has increasingly become a research hotspot in the theoretical circle.This paper studies the credit risk early warning of commercial banks in China.Based on the literature and basic theory,this paper studies the status quo of credit risk of commercial banks in China.Based on the relevant models,the case studies of five listed state-owned banks are proposed.The idea of China's commercial bank credit risk early warning mechanism,and give policy recommendations,which will promptly conduct risk warnings for commercial banks,optimize business strategies,minimize losses,maintain financial market stability,and truly play the role of commercial banks in serving the economy.Important practical significance.The paper is divided into six parts in the structure,among which the important research contents are:First,it focuses on the analysis of the evolution of credit risk management and the changes in credit risk characteristics of commercial banks in China.The characteristics of change are reflected in the fact that the non-performing loan ratio tends to be stable in the overall situation;the macroeconomic transformation has adversely affected the profitability of commercial banks;some banks' capital adequacy levels are facing a test;some banks' net interest margins continue to narrow;bank risk supervision will Continue to tighten and so on.It is pointed out that information asymmetry,insufficient credit risk management mechanism,imperfect credit system construction,and economic fluctuations lead to economic fluctuations,which lead to commercial banks' credit risk.Secondly,based on the listed five state-owned commercial banks,the empirical analysis of credit risk based on option pricing theory and KMV model confirms the rationality of modeling based on ARCH model.The GARCH model is used to calculate the volatility of the stock return rate.Combined with other parameter values,the value of the asset value and its volatility are obtained,and the bank's default distance and expected default rate are calculated.The conclusions show that the stock return series of the four listed state-owned banks can be described by the GARCH model(except for the Bank of Communications),and the widely confirmed phenomenon of volatility agglomeration also exists in the banking industry.Judging from the calculated value of assets and their volatility,it seems to have a positive correlation with the size of the bank.The default distance and expected default rate of state-owned banks are also related to scale,especially credit risk,showing a significant positive correlation.Thirdly,based on the comprehensive risk management of credit risk,the early warning mechanism and construction measures of credit risk of commercial banks in China are given.Policy recommendations include: strengthening the concept of credit risk control,improving the risk management ability within the bank;strengthening organizational guarantees,optimizing the credit risk prevention and control structure;promoting interest rate marketization reform,improving the credit system and credit rating structure;strengthening financial market supervision,Build a safe business environment;combine the reality of China's finance to realize the innovation of credit risk control technology.From the content point of view,the policy recommendations include risk control concept,credit risk indicators,risk management talents,risk information disclosure,risk control organization structure,interest rate,financial database,internal and external rating system,stock market supervision,short-term regulatory system,Financial industry corruption,credit risk quantification tools and measurement models.