Dissertation > Excellent graduate degree dissertation topics show

Credit Risk Measurement of Commercial Bank Based on Kmv Model Modified

Author: ChenZuo
Tutor: ShiXiaoKun
School: Zhejiang Technology and Business University
Course: Finance
Keywords: KMV Model Credit Risk Commercial Bank
CLC: F224
Type: Master's thesis
Year: 2010
Downloads: 210
Quote: 0
Read: Download Dissertation

Abstract


Credit risk has become one of the most important risk forms that commercial bank facing in their day-to-day operations. The accurate measurement of credit risk contributes lots to the security of commercial banks, also the stability of financial system and sustained development of national economy. Under the new situation of financial globalization, our national banking gets open to international market, all kinds of financial derivatives flow into our financial market, then the risks financial institutions face are becoming complex and diverse increasingly. At the present stage, in comparison with advanced international technologies in credit risk management, the research on credit risk management in our country is still in the primary stage. As a result we should draw lessons from the advanced experience then improve the credit risk management. Due to the considerable differences of macroeconomic environment between home and abroad, our country’s commercial banks should make some changes at the credit risk measurement model introduced, explore appropriate credit risk model for our banking. This dissertation takes the credit risk measurement and management of our country’s commercial banks as the research direction. The beginning of the dissertation explains the significance of topic selection, the chief contents and the basic concept of commercial bank’s credit risk. This part puts emphasis on the summary of relative documents home and abroad and comparison of modern credit risk measurement methods, on these bases, A conclusion can be drawn that KMV model can be treated as the effective credit risk measurement model under New Basel Accord’s guiding framework. Based on the previous documents and the macroeconomic situation in China, The third chapter modified KMV model in terms of equity market volatility、default point、corporate market value and annual growth rate of asset value. The fourth chapter employs KMV model modified and 172 listed companies’dates of 2009 to evaluate credit risk of this companies in empirical way, specifically, the empirical research starts with the estimation of corporate equity market value, equity market volatility and so on, then corporate asset value volatility, Distant-to-Default and theoretical EDF can be obtained by means of Matlab. We conclude that Distant-to-Default in KMV model modified can identify credit risk remarkably after the comparative analysis and statistical analysis between DD of ST and non-ST companies. In the end of the empirical research, this dissertation conduct a performance assessment towards KMV model modified by using ROC curve, the results indicate that the probability of ST and non-ST companies be successfully predicted reaches 71%, so KMV model modified can identify the difference between these two groups of companies, and confirms KMV model modified is feasible for credit risk measurement of commercial banks in China.The last chapter of this dissertation puts forward some suggestions, in which the most important one is to establish a unified default database nationwide, then the relation between DD and empirical EDF could be obtained. Meanwhile, the construction of our securities market’s effectiveness, the theoretical research in KMV model should be strengthened, we also need to promote the implementation of New Basel Accord in our country, speed up the development of talented people in credit risk management. Only in this way can KMV model would gain more adaptability in credit risk management of our country’s commercial bank in future.

Related Dissertations

  1. Improve the Small and Medium-sized Enterprises Credit Risk Rating System of Commercial Bank,F832.4
  2. A Study on Personal Credit Risk Based on IRB in Bank of China,F832.4
  3. The Research on the Retail Credit Risk Management of Bank of Communication,F832.3
  4. Domestic Commercial Bank Loan Pricing Model Research,F832.4
  5. The CD Commercial Bank IT Risk Management,F832.2
  6. Domestic Commercial Banks Couter-service Operational Risk Control and Process Reengineering,F832.2
  7. Study on Management of Retail Credit Risk in Rural Credit Cooperative,F832.4
  8. A Study of Rating System of China’s Commercial Bank Technique Risk,F224
  9. Research on Credit Risk Management of Financial Leasing in the Construction Machinery,F832.49;F224
  10. Credit Derivatives Impact on the Credit Risk Management,F832.2
  11. A Research on the Application of Credit Risk Stress Tests of Commercial Bank,F224
  12. The Measurement of Operation Efficiency of China’s Commercial Banks,F832.33
  13. SME financing credit rating,F276.3
  14. GR Company’s Credit Sales and Account Receivable Management Case Study,F275
  15. Study on SME Credit Risk Measurement and Application Based on CreditRisk~+,F224;F276.3
  16. Research on Risk Assessment Model in B2B E-Commerce Transaction,F713.36
  17. The Research of Real Estate Credit Risk Prevention Mechanism in Qingdao A Bank of China,F832.4
  18. Research on the Risk Management of Housing Credit of Bank of China of Yiyang Sub-branch,F832.4
  19. Small and Medium Sized Commercial Bank Credit Risk Management,F832.2
  20. A Comparative Study on Information Technology Outsourcing Mode and Efficiency between the Mainland and Hong Kong,F832.2
  21. Banking supervision in China,F832.1

CLC: > Economic > Economic planning and management > Economic calculation, economic and mathematical methods > Economic and mathematical methods
© 2012 www.DissertationTopic.Net  Mobile