Modeling And Empirical Analysis Of Credit Risk Assessment Of Commercial Banks

Current our country’s economic development is facing great pressure. Subject to the impact of the international financial crisis, the relative lack of external demand. Due to the influence of normal economic policy, domestic demand is in the short term. The sharp contradiction between the demand and the reduction of excess capacity gave rise to the enterprise’s operating difficulties and increased credit risk. The party’s the third Plenary Session of the 18th CPC Central Committee clearly pointed out that the perfect financial market system, and make the appropriate arrangements for this goal. At present, the proportion of indirect financing in China reached more than 80%.Banking assets accounted for more than 90% of the total financial assets. So the healthy development of China’s economic and financial system depends on stability and the healthy operation of the commercial banking system. To guard against and control credit risk of commercial banks became the most important in risk management of commercial banks in China.This paper builds up improved multivariate regression model that based on CPV model and pressure test. Trying to through the combination of the two methods, this paper uses our country commercial bank credit risk for empirical research from the macro perspective, and further analysis the ability of banks to resist credit risk in extreme cases. This is not only conducive to the current market environment to guide banks to set reasonable, while also has a broad and profound social significance to the future development of the financial industry’s prosperity.The multiple regression models with lag that based on CPV model is the main body of the article and the innovation of this thesis lies. The author introduces its lag items, one is to consider the feedback effect of the bank to the macro economy, and the other is to show the mutual influence of the macroeconomic variables. So the model achieved good results. The model can explain the impact of macroeconomic variables on the rate of non-performing loans. After that, the pressure test analyzes the change of the rate of bad loans in the extreme situation and the ability of commercial banks to resist risks.The results showed that:CPI, GDP, LR three macroeconomic variables on credit risk of commercial banks influence is bigger, conforming to the objective economic situation; due to national regulation and the operation of the market economy, the price of real estate is well controlled. It did not produced great influence on credit risk of commercial banks; stress test results obtained in four rows have ability to resist the risk of credit.