Research On Measurement Of Credit Risk Of China's Commercial Banks With KMV Model

Credit risk is the risk that commercial banks must face in the development of China,and the measurement of credit risk is the focus of risk management of commercial banks in China.The research of credit risk can lay a theoretical foundation for commercial banks to reduce the rate of non-performing loans and carry out effective credit risk control.At present,the measurement and exploration of the credit risk in China's commercial banks are mainly based on theoretical and qualitative researches,it lacks of quantitative analysis and research.This paper uses KMV model to conduct empirical research on credit risk of commercial banks in China,which has theoretical and practical significance.This paper first outlines the meaning and characteristics of credit risk of commercial banks,causes of credit risk and methods of identifying credit risk.Secondly,it summarizes the present situation and problems of credit risk measurement of commercial banks in China.Finally,the paper analyzes and compares KMV model,Credit Metrics model,Credit Risk+ model and CPV model,which are some of the general risk measurement model in academic circles.After the comparative study,the paper determines the empirical model of credit risk measurement as KMV model.The KMV model derives from option pricing theory,and uses equity value,equity value volatility,uses enterprise default point to calculate the enterprise asset value and asset value volatility,then calculates the default distance and the expected default rate can be obtained.Because the listed companies are the main credit customers of commercial banks,so in the chapter of empirical analysis,the subjects of this paper are 20 ST listed companies,20 *ST listed companies and 40 non-ST listed companies that were specially treated in Shanghai and Shenzhen StockExchanges in 2018.According to the financial data and stock data of the sample companies in 2018,we use KMV model to calculate the default distance.The empirical results show that the default distance of non-ST listed companies is much larger than that of ST listed companies and *ST listed companies.The smaller the default distance is,the greater the probability of default of listed companies is,while the greater the default distance is,the smaller the probability of default of listed companies is.Therefore,KMV model reflects the probability of credit risk of listed companies in China to a certain extent,through the combination of empirical conclusions and reality,this paper puts forward some measures and suggestions that commercial banks can promote the strengthening of credit risk measurement ability,hoping to provide some reference for the development of credit risk measurement system of commercial banks.