Credit Risk Measurement Of Listed Companies Based On KMV Mode In Commercial Bank

Credit risk is the most important risk that commercial banks face. Along with the financial crisis occurring, the sectors, especially financial institutions pay much attention on it. At the same time, more and more companies go to public to finance with the boom of the stoke market. The interest of investors and creditors is directly related to the condition of business.In general, the models can be divided into the traditional models and the modern models, and the former ones are based on subjective assessment and the latter ones are based on the data of the corporations. With the implementation of Basel II and the rapid development of financial derivatives, people have higher credit requirements to accuracy of the risk measurement. Because the traditional measurements mainly rely on subjective judgments, they can not meet our needs. Therefore, the modern models become the mainstream. In foreign countries, much research effort is paid into the research of credit risk and many new models and methods have been developed and put into practice. Due to history and system, our research in this subject began not very long. And technologies managing credit risk of our bank still are rather backward than other countries. With the opening of our financial markets, the importance of credit risk will gradually apparent. Consequently, the dissertation in credit risk is very significant not only theoretically but also realistically.In modern credit models, there are four typical:Credit Metrics,Credit Risk+,CPV and KMV model. After the study of the modern credit models, we focus on the KMV model. There are severe reasons:First, the model based on mature theories. Second, the data which the model needs can directly obtain from capital markets.Third, calculation is relatively simple.This paper endeavors to study the KMV model application in our commercial banks. On the base of our stock market, we amend the parameters of the KMV model and use it to measure the credit risk of listed companies. The paper consists of five sections:The first part introduces the research background and significance of paper, the main content and the methodology.The second part is about the basic content of credit risk models, including the definition, classification and measurement of the credit risk, and the reason why we choose the KMV model.The third part discusses the theoretical framework of the KMV model and its application in China's commercial banks, then amending the model based on the specific situation of our country.The fourth part is the application of the KMV model.Part V sum up this research, and give some advices to the model's application in our commercial banks.