Commercial Bank Credit Risk Based On Cpv Model Research

Credit risk is one of the main risks which banks are confronted with and the ability to control and manage the risk is related with the stability of the bank system and the development of the economic growth. At present, China’s commercial banks in credit risk management are far behind the developed Western countries, our analysis of credit risk is still in the stage of traditional ratio analysis and expertise judgment, which cannot effectively meet the requirements of the commercial banks for loan security measurement. Therefore, the application of modern econometric model measurement can control the credit risk of our commercial banks more effectively, which has a very important significance. This paper gives a brief description of several recognized credit risk measurement methods:Credit Metrics Model, Credit Plus+model, and Credit Portfolio View model.Then the author analyzes their applicability in China and selects the CPV model for the empirical study by contrast. The empirical results show that the investment in fixed assets、the actual use of foreign capital and the exchange rate between100U.S. dollar against the RMB can be well fitted macroeconomic indicators Y after seasonally adjusted and CPI adjustment, whose goodness of fit up to95%or more. As there exists direct mathematical conversion relationship between macroeconomic index Y and default rates, so the three macroeconomic indicators can also fit defaults rates well. In addition, according to the estimated coefficients of the three macroeconomic indicators, we can reach the conclusion as follows:when the economy is running well, credit default rate will decline; introduction of foreign capital will impact the quality of credit assets of commercial banks in China; steady appreciation of the RMB is conducive to reducing credit default rate. From the aspect of real economy, we can say that macroeconomic directly impacts default rates, which verify the understanding that "The economic situation affect corporations’repayment". In addition, most of the previous empirical analysis is based on the default rates in other countries and regions or in a specific industry, this paper is aim to the overall default rates of the commercial banks in China. Since we also get a pretty good fitting results, indicating that the CPV model applies to China’s macro-economic environment at least in the regression analysis section. The model is also able to predict future default rates effectively, and due to the fact that macroeconomic indicators can be obtained by adjusting preliminary data, the credit default rate forecast is feasible. So the commercial banks may also make use of predictive value to formulate appropriate credit risk prevention measures in advance.