Research On Credit Risk Measurement Of Commercial Bank Loans Based On KMV Model

Income from loans is currently the most important source of profit for Chinese commercial banks,the measure and control of credit risks of loans are critical for the profitability and development of commercial banks.With Chinese economy stepping into the new norm,the fiercely competitive operating environment for industrial and commercial enterprises makes the complexity degree of credit risks faced by commercial banks continuously deepen.The identification,prevention,management and control of the credit risks of commercial banks become increasingly urgent and important for the survival and development of commercial banks.This thesis applies the KMV model to measure the risks of credit that commercial banks in Mawei Region grant to fishery enterprises,analyzes the specific causes of the credit risks of Chinese commercial banks,and proposes corresponding countermeasures and suggestions for the credit risks management of enterprises loans of commercial banks.This thesis adopts the method combining qualitative analysis and empirical research.Firstly,it introduces four types of modern credit risk measurement instruments,and selects,through combination of the advantages and disadvantages of analysis model,the credit risk measurement model best suiting the research object in this thesis---KMV Model.Secondly,it finds the entry point for empirical research by analyzing the current credit risk measurement method of commercial banks.Thirdly,it introduces the basic conditions,liabilities and measurement method of the fishery enterprises that the commercial banks in Mawei Region grant credit to.The operation of fishery enterprises is affected by natural climate,its operating risks have higher uncertainty and fluctuation compared with that in other industries,therefore,it also makes commercial banks face more difficulty in risk identification and control.Lastly,it applies KMV model to make empirical analysis of the credit risk of the fishery enterprises that the commercial banks in Mawei Region grant credit to.The empirical result indicated that among the 12 sample enterprises,the default distances of the enterprises with poor credit performance were all lower than that of the enterprises with better credit performance,meaning that the enterprises with poor credit performances have higher risk of default.Therefore,the KMV model could reflect the difference among enterprises in credit level,therefore having relatively strong forewarning function for commercial banks' measurement of the credit risks of fishery enterprises.The operating characteristics of fishery enterprises require the credit risk measurement instruments of commercial banks to be forward looking and dynamic.In order to improve the risk measurement effect of fishery enterprises,Chinese commercial banks must introduce new and mature credit risk measurement model based on traditional credit evaluation method.Through applying mature quantitative models to optimize data indicators by knowing enterprise characteristics and industrial situation,the commercial banks will be more direct,effect and convenient in their measurement and calculation of the credit risks of fishery enterprises.The following policy suggestions are proposed on the basis of empirical results and integrating China's reality: 1.Establish the credit evaluation system process,strengthen the analysis and identification of credit risks.2.Strengthen the attention paid to enterprise profit fluctuation,dynamically adjust credit risk points.3.Reduce the searching cost of credit information,introduce third-party credit evaluation institutions.