Credit Metrics And The Kmv Model And Comparative Study

This thesis consists of five parts: the background of credit risk management for commercial banks, brief introduction of Credit Metrics and the KMV models, the comparison of Credit Metrics and the KMV models, the concrete measure to upgrade the level of credit risk management on the level of quantification as well as the conclusion, trying to give a systematic and clear explanation of"credit risk quantitative management".With the rapid development of economy, people have realized that"credit"is not only a social criterion but also the foundation of economic operation. As an application of prestige in the field of economy, credit is a medium of exchange. With the character of competition, fair, open and legalization, market economy itself is"credit economy". In the market economy, any industry faces various risks, including banking. Commercial bank plays an important role in financial system of a country and credit risk management is vital to its consistent management. Since the end of 1980s, along with the tendency of economic integration and market fluctuation, credit risk has already brought unprecedented challenge to commercial banks and investor all over the world.China is still a developing country, there is a long and hard way for it to establish a stable financial system and upgrade its competitive ability. At present, the high rate of non-performance loan (NPL) is still a tough problem for commercial banks in China, especially state-owned commercial banks. At the same time, it is not optimistic of the NPL disposal for the four asset management companies. So, how to learn advanced credit risk management experience from international commercial banks is urgent to us, both from the theory and the practice perspective.Potential ability is always following with challenge. To deal with crisis, credit risk management method has gained great attention and progress, which in the meanwhile helps to promote the stability of banking industry. As the most popular credit risk management models in the field of international finance, Credit Metrics and KMV have represented the tendency of credit risk management of commercial banks. At the same time, they have different understanding of credit risk, risk factor, the fluctuation of probability of default and loss of given default, asset value, portfolio analysis and so on. From these bright differences, we can obtain some enlightenment, and then have a clear realization of"technical standard"and"systematic standard".Based on the common points of the two models, we propose the importance of"internal rating", especially the correlation of"customer evaluation"and"credit evaluation", as well as the measurement of probability of default and loss of given default. Based on the difference of Credit Metrics and KMV, we should try to perfect credit risk management organization, optimize risk management idea, cultivate credit risk management culture, accelerate information system construction, strengthen supervision and enhance exterior credit rating measurement organization.