Studies on Measurement of Credit Risk of Chinese Commercial Bank
|Keywords||Commercial bank Credit Risk Empirical research Policy recommendations|
Commercial banks as the core of the financial promote reasonable flow of funds, the regulation of total social supply and demand play a key role, therefore, the commercial banks operating operating condition has an important role to promote the stability of the economic and financial system run. Own commercial banks operating characteristics of (liabilities operation) makes commercial banks and risk go hand in hand, a lot of the risks faced in the development, credit risk has always been one of the most important risk facing, but also affect the economic development of a country The main factors. With the rapid development of global economic integration, financial integration will be the general trend of the future economic development of the financial market volatility, and the world's financial institutions are facing more complex and diverse global credit risk. Effectively measure and manage credit risk is a key link in the commercial bank credit risk management practice process. Credit Risk Measurement around the commercial banks in China launched an in-depth study and learn from foreign advanced credit risk measurement of relevant theoretical results and the credit risk measurement techniques, comparative analysis of the classical credit risk measurement models and modern credit risk measurement model of the basic principles of their similarities and differences, theoretically analyzed its applicability in China, pointed out that the KMV model in China's commercial banks credit risk measure has strong applicability; analysis of the importance of the measure of the credit risk of commercial banks in China, introduced the development of China's commercial banks credit risk measurement history, analysis of the existing problems in the Chinese commercial bank credit risk measurement that should be used to model more accurate quantitative analysis of the credit risk of the modern credit demeanor amount; selected number of ST and non-ST in Shanghai and Shenzhen, using KMV model to empirical measure of the credit risk of the sample companies, to verify the validity of the KMV model in China's, which further raised should build the commercial bank credit risk measurement and management system as well as policy recommendations to improve the management level of the commercial banks, and credit risk reduction and promote commercial banks sustained and healthy development. Asked the following innovations: systematic comparative analysis of the similarities and differences between classical credit risk measurement models and modern credit risk measurement models, the first systematic analysis of the applicability of the model in China's commercial banking; selected in Shenzhen and Shanghai theoretically 2010 a representative number of ST companies and non-ST using the latest data using KMV model empirical analysis, computational analysis of its distance to default, and for the KMV model verification process, the proposed improved method; against China's commercial bank credit risk measurement and management of the present situation and the existing problems and puts forward policy proposals to build a sound commercial bank credit risk measurement and management system.