Based On The Kmv Model Of Commercial Bank Credit Risk Management Study

Commercial banks take a dominant position in the financial industry and played a pivotal role in the modern market economy, but also the commercial banks are the government's market-based who carry on the macro-control. With financial globalization, and deregulation of the banking industry, especially the New Basel Capital Accord III introduction in September 2010, making the Chinese financial market environment has undergone more significant changes, and commercial banks face a more severe situation, the most important is the increased credit risk, as well as increased credit risk due to the loss of a series of bank assets to increase and so on. So in the current economic situation, strengthening of commercial bank credit risk management is to improve the efficiency of commercial banks, and make for better development of the key measures to commercial banks and financial markets. Therefore, according to the New Basel Capital AccordⅢ, there has important theoretical and practical significance which make the goal based on study of commercial banks credit risk management.In this paper, China's commercial banks as the main object of study, based on the conclusion of the domestic and international research and theory on credit risk management and analysis of the current credit risk management of commercial bank status and the characteristics of the New Basel Capital AccordⅢ, took the challenges to the credit risk of commercial banks management and established the construction of commercial bank credit risk management mechanism. Second,The use of KMV model which is modern credit risk management model, with data of 14 China's commercial banks listed in 2010, made empirical analysis of credit risk, got higher result of default. The use of least squares correlation test got the positive correlation result which is default rates and capital adequacy ratio and got anti-correlation relationship which between default probability and equity capital. Finally, with the results of the analysis, put forward some policy recommendations to improve credit risk management of commercial banks in China:accelerate the construction of risk management information system, establish a sound credit risk internal credit rating system, progressive realization of the domestic credit risk quantitative management, improve the commercial bank system of internal control, gradually establish early warning mechanisms and so on.