Bank Credit Risk Management - Kmv Model Theory And Empirical

Risk means the probability of the disadvantageous things happened. Meanwhile, credit risk means the possible losing due to the dealing opponents default or their credit rank has fell. It is a kind of the oldest and most important credit in the finance market, and it is also the mainly credit what the present economic society, especially finance organization is facing. Because credit's property is peculiar, it doesn't always happen, but it will be cause great loss once it happened. So, that enhancing management to credit risk is still an important part of those finance organization in every country and their monitors daily works. Now, those state-owner bank and stock bank's bad debt balance and it's ratio are still higher than ever, which become a hidden trouble on the road of those banks develop healthily in the future. The installation of China banking regulatory commission indicates our country's determination and effort in enhancing bank regulation, improving credit quality, and keeping away finance risk, and at the same time displays the pressure of the bank credit risk measurement method research in our country. So, what this paper discussed method of credit risk measurement, which based on options pricing theory, has actively practical meaning.Thus, this paper introduces the KMV model, which is designed for credit ranking, and is widely adopted by much famous finance company in the world. This model is based on options pricing theory, and it takes a company's value and its debt owned others as a call options. That the company's value is greater than its debt in the future is just like a call options whose primary asset value is greater than its strike price, and the company will carry out this option, which means the company will execute the contract, and vice versa. Meanwhile, the model considers in the modern stock market, any information about macro economic, industry and enterprise conditions will be reflect to the undulation of the stock price, furthermore, which implicates the evidence of changes for the company's credit risk. And at thesame time, the KMV model also considers there is a certain relationship between the stock price's undulation and that of the company's value connotes. Supposing the company's value satisfies a certain probability distribution, then, we can calculate the company's value in the future as well as its connotative undulation basing on the relationship and a certain option pricing formula, which is based on the supposing talked above. Further, we can calculate the company's expected default frequency. By now, the goal to measuring the company's credit risk has realized.This paper contains 4 chapters. The first chapter introduces the concepts of the risk and credit risk and their partition arrangement, and in succession points out the international society's manage requirement to the finance industry, from which elicits this paper's topic, KMV model as well as credit risk measurement. The second chapter introduces the KMV model theory and its application method for credit risk measurement. In this chapter, concretely, the paper introduces the B-S-M option pricing theory firstly; analyzes how the option theory is applied to credit risk measurement; and expatiates on the KMV model's development and its present application status, KMV model's core idea, and its calculation approach; fourthly, which is the end of this chapter, the paper introduces how the KMV model applies to calculate those enterprise's credit risk, whose stock doesn't come into the market. The third chapter is a part of demonstration of all of the paper; In this chapter, first, there expatiates on estimate method for some parameters in the model; next, the paper takes 5 companies' related data in our country, whose stocks have come into the market, and calculates their EDF values in different periods respectively, and at last draw conclusions on those companies. The fourth chapter, and at the same time the last chapter of the paper, analyzes the KMV model's excellence and its shortcoming derivate f...