Credit Risk Management Study of Commercial Banks in China and Empirical Analysis
|School||Southwestern University of Finance and Economics|
|Keywords||Credit Risk Credit Loss Credit Risk Measurement Probability of Default KMV Model|
The credit risk is main risk for the financial organization, for example the bank. Strengthening the management of the credit risk always is the financial industry and its supervising organization work key point. At present, our commercial banks’higher non-performing loans(NPL) have become a big hidden danger for our economic healthy development. The institutional factor of economic transition is an important reason of forming a NPL loans, but at the same time, the lower level of our banks’risk management, and especially not finding a perfected credit measurement technology have accelerated the forming of NPL. Now our bank’s, measurement is still at primary stage of traditional credit rating. The credit risks analytical method has the too strong subjectivity, and mainly depend on the historical accounting data, can’t see the future development of enterprise, so the very great deviation often lies. The western developed country banks have already formed very advanced inner models for credit risk measurement. These models take advantage of all information to analysis the credit states of enterprise. Using these models, the banks have greatly improved risk managerial ability. With unlocking of our financial transaction, the foreign banks will gradually get the right for competing with the domestic bank on an equal basis, and present low risk management level of domestic bank will make their out of unfavorable competitive position. The purpose of the research in my dissertation is to find out suitable credit risk measurement model for our country at present, and improve the credit risk management level of our banks through the reference of this model.This article first introduced the Commercial bank credit risk’s connotation, the type and the Commercial bank credit risk’s manifestation, the economical harm as well as China Commercial bank credit risk’s present situation, obtains the guard and the melt credit risk necessary enlightenment. Then the introduction Commercial bank credit risk management’s general theory, through establishes a complete information dynamic gambling model to be for the purpose of proving the credit risk quantification model is guards against in the credit risk the important means that has made the upholstery for the following research. Then the overall analysis our country Commercial bank credit property risk management present situation and the existence question, then, introduced the modern West famous four big credit risk quantification evaluation model:The KMV model, Credit the Metric model, Credit the Risk+model, Credit Portfolio the View model and conducted the contrast research, the center of gravity has placed the model the theory frame, the quantization step as well as the good and bad points comparison. In the full understanding theory and our country actual foundation, take China money market present situation as the research background, has carried on the contrastive analysis to four big model’s compatibilities, through the analysis choice the KMV model which adapts with China credit market environment, has carried on the real diagnosis examination, carries on the thorough analysis using the KMV model to our country stock market Shanghai and Shenzhen two city’s To be listed, proposed the sample screens the principle, calculates ST and the non-ST To be listed’s anticipated violation probability, with the violation which calculates is away from fits, the contrast discussed the KMV model to measure our country’s Shanghai and Shenzhen two market city company credit risk serviceability, and proposed.Our country To be listed’s credit risks forecasting analysis. The conclusion thought that the KMV model may analyze our country to be listed’s credit risks well compared with other credit risks model, this is helpful to examines the credit risks which effectively our country investors and to be listed face. Finally, after the summary draws the conclusion and the analytical study limitation,to our country Commercial bank carries out the modern credit risk quantification appraisal to put forward the policy proposal.In the first chapter, the meaning, the framework and the main creative points of this article have been discussed.In the chapter two, we will look back the history of western credit risk management. On that side, we can separate the history into 4 stages:asset risk management, liability risk management, asset& liability management and risk management. I emphasized on Chinese commercial bank’s credit risk management development. In addition, this chapter summarized the high value credit articles during the western banking history.In the paper third chapter, from the deep analytic hierarchy our country.commercial bank credit risk’s origin, mainly had property system’s flaw, the information asymmetrical question and anticipated uncertainty and so on.Fourth chapter closes to the traditional credit measure model summary. Simply introduced the expert method、the rating method and three big traditions risks measurement technology of the credit grade method. Then, introduce the modern risk measure model judgment and comparison. Analyzed four kinds of modern credit risk measurement models, and gave the judgment to each kind of model good and bad points. Made the comparative analysis from general and in the our country serviceable two aspects for these models. Because the current our country special national condition decided, these models also lack the certain foundation in our country application, compares with other three kinds of models, the KMV model current has the relative better serviceability in our country.Fifth chapter is goes on KMV model experiential research on the basis of the listed company of our country. Has analyzed the KMV model three questions which still needed ton solve in our country application, namely the non-circulation stock fixed price, the history broke a contract the data to lack as well as the property undulation rate determination, and proposed the corresponding plan on the existence these questions solutions. Then we selected 30 stocks to make the experiential analysis. The model computation result had reflected in the certain degree the current actual situation, indicated the KMV model had a better serviceability in our country.