Credit Metrics model SME credit risk management
|School||Central University of Finance|
|Keywords||SME Credit risk management Credit measure model|
In the long run, credit risk is an essential risk in financial system, specially in banking. It’s invovled in every field of the modern society economy. In the risk management of commercial banks, credit risk is the main risk confronted with by commercial bank in their operation. And it is the improvement of the ability to identify, estimate and control the risk that judge the nice torlurance and effective management of the credit risk in commercial bank. And the precise measure to the creidt risk is the important part of the effective credit-risk management.As the develop of global economy, the traditional measure and management method of credit risk have not been able to adapt the new situation and the new question which arises in today’s society, and cannot satisfy what is needed in the scientific quantification measure and the effective management of the credit risk. The banking industry in the western developed country has already introduced the great advanced internal credit risk measure model which use all information what can be obtained to valuate the enterprise credit condition. Compared with the West commercial bank’s credit risk management commercial level, there still are a great gap between domestic bank and west band especially in risk quantification country’s commercial bank is concerned, the bank aspect disparity. As far as our internal rating is still in initial stage,internal rating system which the commercial bank develops mainly uses customer selection and risk warning, not yet use credit risk quantification management. Therefore, with the financial mechanism reform and financial opening step speeding up, commercial bank’s risk management consciousness obviously has been strengthened, the banking industry have progressively realized the importance of the marketability operation, prudent operation and risk management on banking industry. We need to reevaluate the credit risk measure and the management method, establishing the new measure model that is suitable our country’s credit risk management level. At the same time,the improvement of the economy reformation in China give the SME lots of oppirtunity to become an outstanding power in the institution of economy in China. The commercial banks in this transition period, are trying their best ,not only to promote the improvement of corporate governance structure, ownership structure adjustment, the realization of offering listed, and also to progress steadily business structure and profit structure in order to enhance their overall competitiveness and risk-resistance capability.The target customers of commercial banks are gradually transfered from the large and medium-sized state-owned enterprises into the different sizes such as the SMEs. The SMEs credit is charactered with small amounts, frequency, urgency, and others, leading banking to take on the higher cost of SMEs management and weaken the force of the commercial banks in SME credit market;So, how to use the more advanced models of credit risk measurement and improve SME credit risk management of the commercial banks in china is essential to improve management efficiency and reduce the cost of screening, which has some theoretical and practical significance.This paper takes the SMEs credit risk measurement of the commercial bank as the research direction, presenting and analyzing the traditional credit risk method and the modern credit risk model, revising the models based on the present situation of our country banking to make the model follow the credit risk condition of SMEs in our country. As the model is especially suitable for the credit risk measurement of listed company, this paper makes the empirical analysis about the actual measurement effect of the financial index model, the KMV model and their combination based the data of listed companies, through the empirical analysis, pointing out that the combination model has credit risk measurement function in SMEs risk management. Finally, the author proposes policy suggestion on the models application and looks forward to the application prospect in the future. Therefore, this paper includes 5 chapters.First chapter is the paper introductory, in this chapter, the author introduce the research background, research method, research difficulty and the literature reviewSecond chapter is about the credit risk presentation, in this chapter, the author defines the conception of credit risk ,the classification and the measure method, mainly introducing basic theory, computation step and the advantages and disadvantage of the traditional credit risk model and the modern credit model.Third chapter is about the appliablity of the the financial index model and the KMV model based the conclusion on the characters of SME credit risk management in commercail banks, in this chapter, including the models’advantage and disadvantage.Fourth chapter is mainly about the the financial index model, the KMV model’s applicability and their combination model on credit risk measurement of listed company. In this chapter, financial index model of lised companies(included the SME and the big companies) is estabilished by SPSS, DD is calculated under the KMV models, and the combination model is builded.The author clarifies the computation process of the models and obtains the empirical results of empirical analysis, also finds some question in practical application and explains these question.Fifth chapter is about policy suggestion on the risk measure model application and the application prospect in the future.