Credit Risk Metric And Management Research Of Chinese Commercial Banks Based On The KMV Model

Despite the recent statistics of commercial banks NPL ratio has reduced significantly, but the new non-performing assets are still at a relatively fast production.China's commercial bank credit risk measurement and management capacity remains relatively weak. Therefore, to raise China Commercial Bank Credit Risk management is urgent.In this paper, the credit risk measurement international fashion model is initially introduced and compared, and the KMV model's theoretical basis and measurement method is summarized. At the same time, the paper selected 40 ST and non-ST companies in Shenzhen and Shanghai stock market as samples,for empirical comparison of different assigned default points.Using the KMV model to estimate default distance to compare sample ST companies and non-ST companies credit risk profile, in order to test the KMV model's practicability of identification of risks in real applications. The empirical results show that, ST's default distance is shorterer than non-ST companies, KMV basicly according with listed companies in China's commercial banks to the credit risk measurement. At the same time when the default point is equal to short-term borrowings plus 0.6 times long-term loans when, KMV on the credit risk of listed companies in China identified is the strongest. Then, this article try to apply KMV model to the non-listed companies on risk identification.Based on the current status credit risk measurement and management of China's commercial Banks, this paper suggests that China's commercial banks can make use of KMV model to measure credit risk of enterprises, and improve the database by improving the model and to improve the measurement accuracy. In addition, commercial banks in China should strengthen internal management and external monitoring and many other aspects to improve our credit risk management.