The Choice Of Credit Risk Measurement Model And Empirical Study Of Chinese Commercial Banks

Commercial banks always pay much attention to credit risk management, which accounts for the major risk commercial banks are facing. In June 2004, formally promulgated "The New Basel Accord" has set higher requirements of the bank measure credit risk, as well as having recommended using the internal rating method that possesses extremely high technology content. At present, the banking has adopted such advanced internal credit risk measurement model in developed Western countries. Through the use of these models, banks greatly enhanced their risk management ability. Due to the historical and institutional reasons, China's commercial banks remain in using the traditional credit analysis methods, far from the commercial banks' loan security reckoning requirement.Basing on it, this article uses qualitative and quantitative methods to carry on the theoretical analysis of the credit risk measurement models. Through the introduction of the mainstream international credit risk measurement model's specific framework and KMV model in China's specific application of empirical analysis, this article tries to find out China's actual credit risk model to enhance China's commercial banks' competitiveness. The article is divided into five chapters:The first chapter describes the background and significance of topics, analyses the status quo of credit risk measure both at home and abroad, and puts forward the ideas of this article.The second chapter introduces four categories of international mainstream credit risk measurement models, and analyses four models' advantages and disadvantages. At the same time it introduces the credit risk measurement's relevant provisions of "The New Basel Accord".In the third chapter, the author chooses the KMV model as China's commercial banks' credit risk management model under the actual conditions in China.In chapter four, the author selects 10 listed companies as a sample from the Shenzhen and Shanghai stock market, and carries out the empirical study of the KMV model.In chapter five, the article analyses the applicability of KMV model in China, and tables some proposals related to China's conditions to use KMV model.