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Empirical Research on the Credit Risk Management of Commercial Bank Based on the KMV Model

Author: LinJuanHua
Tutor: ZhouBin
School: East China Normal University
Course: Actuarial Science
Keywords: KMV model credit risk expected default frequency option pricing commercial bank
CLC: F832.4
Type: Master's thesis
Year: 2009
Downloads: 489
Quote: 5
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Abstract


Finance is the center of modern economy.Financial activities have always been closely linked to risks.Economic globalization,financial liberalization and financial innovation have led to instability in the financial system.It is very important to recognize and manage financial risk,since it has the property of privacy,diffusion,and acceleration, manageability and periodicity etc.In China,the issue of credit risk is even more serious.How to improve the management of credit risk has become the most urgent subject facing the commercial bank. KMV model is a forward-looking and dynamic model based on financial data and stock market data which overcome the disadvantages of traditional methods only depending on the financial data.There are several innovations in this paper.It revises some of the model’s parameter in order to make it more adaptable to Chinese market,such as resetting the default point,pricing the non-tradable shares and calculating the weighted one-year non-risk rate.Also this paper analyzes the application of the KMV model in our country banking industry by using part of listed companies.Through the analysis and comparison of the various credit measurement models,we try to build the credit risk model adaptable to our actual situation;thereby increasing the standard of the risk management in China’s banking industry.

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