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Research on Application of Commercial Bank in China with KMV Model

Author: WangHao
Tutor: WangXiangRong
School: Shandong University of Science and Technology
Course: Probability Theory and Mathematical Statistics
Keywords: Credit Risk Credit Risk KMV model Distance to Default
CLC: F832.4
Type: Master's thesis
Year: 2008
Downloads: 53
Quote: 1
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Abstract


Credit risk refers to the market as a borrower or counterparty default losses resulting from the possibility . China's financial system is based on the allocation of funds as the main banking and financial system of financial risk assumed pattern of China's economic reforms in the banking system and financial developments in the functional orientation and policy-oriented financial system is always in the dominant position . However, China's commercial banks credit risk is the main risk faced by , and a great stock of credit risk . High proportion of non-performing bank loans greatly weakened the competitiveness of the domestic banking industry to become the biggest ills. This selection of commercial bank credit risk measurement model as a research topic , drawing on existing research results at home and abroad on the basis of the credit risk of commercial banks to make more systematic theoretical issues and empirical research in an attempt to Credit Risk' dissertation">Credit Risk Management of Commercial Banks technology development and application of make some exploratory work effectively . This paper first introduces the definition and characteristics of credit risk , and the causes . Secondly introduces credit risk measurement and management of the meaning and basic theory , analyzes its theoretical and applied research on the importance of China's commercial banks and necessity . Then in Chapter 4 briefly describes several important credit risk measurement models and methods , and analyzes the advantages and disadvantages of various models and methods . Finally, in Chapter 5 analyzes the KMV model in China's commercial bank credit risk evaluation feasibility , detailing the basic principles and calculation methods, and on this basis, select a sample of listed companies in China , using KMV model estimates of their respective distance to default size and the results are analyzed , indicating the KMV model for quantification of credit risk management applicability.

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