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Research on Enterprise Credit Risk Measurement of Commercial Banks

Author: FangCuiFang
Tutor: JinZuo
School: Dalian University of Technology
Course: Analysis and management of economic systems
Keywords: Credit risk Measure Commercial bank KMV model
CLC: F832.4
Type: Master's thesis
Year: 2009
Downloads: 434
Quote: 5
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Abstract


Credit risks are faced by commercial banks has been the most important risks. Commercial bank loans in China, mainly derived from corporate loans, so the size of the corporate credit risk directly affect the stability of the banking operations and development. Now, foreign commercial bank credit risk management technology is relatively mature, with an effective combination of qualitative and quantitative credit risk measurement methods. However, the measure of the credit risk of commercial banks in China are still mainly qualitative than abroad, there is a big gap. Therefore, learn from foreign credit risk management methods, combined with China's actual research credit risk management theory and methods of great significance for China's commercial banks. Research ideas of this article is that, through the analysis and comparison of the currently popular in the international credit risk measurement models to identify the actual KMV model suitable for China's commercial banks. And improved by the introduction of the asset value of the growth rate on the model, to measure the size of corporate credit risk faced by the commercial banks. The first part of the article first defines the basic concept of credit risk, that the object of this study is the corporate credit risk of commercial banks. Followed by the research status at home and abroad, the paper structure, and this article innovations. The second part of the measure of credit risk assessment model are reviewed. China's commercial banks risk quantification technology application status and existing problems, the analysis of the applicability of the four credit metrics model in China. Ultimately select KMV model through comparative analysis, as the empirical model. The third part of the first KMV model described in detail. Including the basic principles of corporate defaults distance, the expected probability of default and the main parameters of the calculation. Then, the focus of the model by introducing asset value growth rate improved. The fourth part of the empirical section of this article. By choosing two groups of a total of 34 samples were compared empirical analysis, draw two conclusions: First, KMV model applies a measure of corporate credit risk in Chinese commercial banks. Second, after the introduction of the asset value of the growth rate of the KMV model can better reflect the enterprise's credit status. The fifth part of the thesis summary and outlook. First described the limitations and inadequacies of the paper, and then analyzes the application KMV model credit risk measurement difficulties, and put forward some reasonable proposals.

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CLC: > Economic > Fiscal, monetary > Finance, banking > China's financial,banking > Credit
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