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Credit Risk Measurement of Listed Companies Based on KMV Mode in Commercial Bank

Author: YangWenJuan
Tutor: ZhangXianMing
School: Southwestern University of Finance and Economics
Course: Finance
Keywords: Credit Risk Distance to Default KMV model Probability of default
CLC: F276.6;F224
Type: Master's thesis
Year: 2010
Downloads: 199
Quote: 0
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Abstract

Credit risk is one of the most important risk facing commercial banks, with the outbreak of the financial crisis, the credit risk has been the concern of all walks of life, especially financial institutions. Listed companies in China, is the basis of the stock market, is an important part of the national economy. The credit risk profile of listed companies is directly related to the healthy development of China's capital market, which related to the healthy development of China's financial system stability and macroeconomic. In recent years, due to the constant improvement of the securities market, a growing number of companies through the market to raise the funds needed for development, its business situation is good or bad, it is directly related to the interests of investors and creditors, the credit risk is also subject to more investors, regulators and financial institutions concern. For China's commercial banks, business loans, its main business, corporate loans, the loan is an important part of one of the listed company, and therefore measure the credit risk of listed companies is the credit risk management of commercial banks one in the main task. The fundamental reason lies in the uncertainty of the credit activities that generate credit risk. In the lending activities of banks and enterprises, it can be said that the bank information disadvantage, because the bank just observe corporate short-term operating conditions, access to their financial statements to make evaluations of enterprises, so, in order to obtain loans. it is possible to hide unfavorable information only will benefit their own but may not be conducive to the bank false information passed to the bank. Asymmetric information between banks and enterprises, it is possible to take action leaving banks too risky to withstand potential losses. If the banks can not effectively supervise management behavior of enterprises to obtain loans, it is possible to take greater risks; rather complete supervision is not realistic, and such costs are too high. Therefore, the banking industry must speed up the study of credit risk measurement model, the use of modern information technology advantages and bank external data tracking the credit risk profile changes. China since its accession to the WTO has been gradual fulfillment of the commitment to the full liberalization of the financial sector, with the opening of China's financial market, China's banking industry will be faced with the challenge of foreign banks, state-of-the-art technology and diversified innovative products, which is no doubt China's banks credit risk control level of the industry put forward higher requirements, coupled with the accelerated pace of innovation of financial products, the importance of credit risk and gradually became apparent. At present, China's commercial banks for credit risk measurement is more limited in the use of qualitative analysis and the rules and regulations of the research and practice of credit risk management and measurement techniques are a far cry from the international level. Therefore, to explore suitable for our bank corporate credit risk metrics model will contribute to China's banking industry to identify, analyze and control credit risk, narrowing the gap with the world-renowned banks to improve their competitiveness in the international market. In general, the credit risk measurement models listed companies are divided into the traditional credit risk measurement models and modern credit risk measurement models, the former mainly qualitative method, while the latter is based on a quantitative estimation of the main. With the implementation of the new Basel as well as the rapid development of financial derivatives, credit risk measurement accuracy requirements also increasingly high, while the over-reliance on the subjective judgment of traditional credit risk measurement models gradually can not meet the needs of the making of modern credit risk measurement models become mainstream. Some large foreign institutional study of modern credit risk measurement models have matured, but because of the historical and institutional reasons, the study of these credit risk measurement models in China started late, banking credit risk management technology is still relatively backward developed countries, the credit database building also need to be further improved. There are four main modern credit risk measurement models more representative, Credit Metrics, Credit Risk, CPV and KMV model. In this paper, a comparative analysis of several major modern credit risk measurement models think that the KMV model more suitable for the current situation in our country. Following reasons: First, KMV model has a mature theoretical basis; model input data directly from the capital markets and the financial statements of listed companies, which can make up for the lack of the status quo of China's credit data; Third, framework for its calculation is relatively simple, and therefore has a greater practical significance for China's current. KMV model is based on option pricing theory is a dynamic, quantify the credit risk measurement models, and its very high sensitivity can be directly based on the real-time data of listed companies, stock trading, the company calculated the distance to default and the theoretical probability of default, so that you can quickly find the change of the company's credit risk. The KMV model takes advantage of the company's asset value and asset value volatility to calculate the distance to default and the probability of default of the company, not the subjective choice of financial indicators, and thus can be a more accurate measure of the company's credit risk, but also you can see it the accuracy of the risk measurement is subject to market price volatility of the Company's equity is real, timely, accurately reflect the basic situation of the company, as well as changes in years in the capital markets information also may affect how improved KMV model, as well as to improve The accuracy in the use of our market want to study the problem. KMV model of modern credit risk measurement models as the main line, from the point of view of the quantitative analysis of the credit risk management of commercial banks in China, combined with the specific national conditions of our empirical analysis by considering the change of the capital markets around the the credit status of a listed company comparison: the KMV model estimates derived after considering changes in capital market information is more in line with the actual situation of the company. This article is divided into a total of five parts: The first part introduces the research background and significance of the research status at home and abroad, as well as the content and methods; second part is mainly carried out a more detailed discussion of the basic content of the credit risk model listed companies, including the credit risk of the definition, classification and measurement methods, and modern risk model for comparative analysis, the reason to come to this article select KMV model; third part discusses the theoretical framework of the KMV model in China's commercial banks metric the applicability of the credit risk, and on this basis is the model for our specific situation corrected. The fourth part of the use of the modified model, select the listed companies to conduct empirical research. Including KMV model estimates, caused by changes in the capital structure of estimates from two different angles to analyze the model predictions for the credit risk of listed companies and combined with the company's financial data, the predicted results with the actual situation of the match. The fifth part to make a summary of the full text, and to come to the research results of this paper as well as recommendations and limitations of the model in the practice of commercial banks in China. Them in depth because of the limited research level, the article did not measure the credit risk technology research, the proposed correction model, there are still a lot of need to be perfected, and hope that teachers valuable advice, and constantly improve.

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