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A Study on Credit Risk Measurement of China’s Commercial Banks Based on KMV Model

Author: LiuJing
Tutor: ZhangWeiHong
School: Xi'an University of Electronic Science and Technology
Course: Technology Economics and Management
Keywords: Credit Risk KMV Model Risk Measurement
CLC: F832.2
Type: Master's thesis
Year: 2010
Downloads: 529
Quote: 7
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Abstract


Credit risks were the greatest risks that China’s commercial banks face. In themodel building aspects, China’s commercial bank’s credit risk measurement had suchproblems as modeling database didn’t complete, quantitative risk assessment methodswere backward, effect of model results was not obvious. In the model applicationenvironments, had problems of internal and external application environments. Thus,in this paper, based on the research on credit risk measurement method, using therevised KMV model to have an empirical analysis of credit risk measurement onChina’s commercial banks, had important theoretical and practical significance.In this paper, the literature analysis, stock data analysis, comparative analysis,empirical analysis and a combination of qualitative and quantitative methods wereused. First of all, combed the related theories of the commercial bank’s credit risk andits measurements, compared commercial bank’s credit risk measurement, consider thatthe KMV model is superior to other credit risk measurement models. Second, had anin-depth analysis of problems in China’s commercial bank credit risk measurement,iIncluding of the model problems and the environmental application problems. Then,revised the parameters of theKMV model, used the revised KMV model to have aempirical study on the measurement of China’s listed companies’credit risks, evaluatedthe empirical results of the analysis. Lastly, for problems of China’s commercial bank’scredit risk measurement in the model and application environment, based on the KMVmodel, made credit risk management solutions.This paper argues that: revised KMV model was more in line with thecharacteristics of China’s commercial banks’credit risk measurement, madecontributions in the settlement of problems on China’s commercial banks credit riskmeasurement. Through empirical analysis, verified the revised KMV Model iseffective in the measure of China’s commercial banks’credit risk. The probability ofdefault from the revised KMV model can be an early warning of China’s commercialbanks’credit risk。

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CLC: > Economic > Fiscal, monetary > Finance, banking > China's financial,banking > Banking system and business
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