| Credit risk is one of the core content of the bank’s risk management; its effective management has played a huge role in the maintenance of sound operation of the banking system, improving the efficiency of financial resources, servicing the real economy. The outbreak of the debt crisis in the US subprime credit risk management in 2008 put forward higher regulatory standards and requirements to risk management, and quantitative credit risk management will play core role in forecasting, preventing and controlling of industry risk and systemic risk. According to 2014 statistics stock of social financing, the loan to the real economy is 81.43 trillion yuan, increasing of 13.6%. It can be seen that the size of the company commercial bank credit is very large, and increases fast. However, bank’ company credit risk assessment are mainly "five-classification", "expert method". These traditional risk measurement methods have lots of shortage of monitoring lag, and subjectivity, and take two much qualitative components. There are still some problems in terms of selection and weighting set of indicators, so it does not accurately measure the company’s solvency and default probabilities. Therefore, commercial banks credit risk measurement research is a very important and urgent task to study, and how to use advanced econometric models for credit risk measurement has much high theoretical and practical significance.This article firstly reviews the history of commercial bank credit risk measurement and its change, analyzes and compares the advantages and disadvantages of modern risk measurement methods and its conditions. Then found that the KMV model is more suitable for the application of advanced econometric model. It expounds the basic steps to construct the KMV, and put forward to modify the key parameters of the default point, and then use the adjusted KMV model to measure our country commercial bank credit risk. Finally, this article summarizes and puts forward policyThe full text is divided into five chapters:The first chapter is Introduction. It describes the background, significance, literature review, research methods, research content, as well as innovative and shortcomings of this article.The second Chapter is credit risk and its measure. First, it’s to define the concept of credit risk; secondly, it details the traditional credit risk measurement methods and four internationally popular credit risk measurement methods; finally, it takes a comparative analysis of these four modern risk measurements of the advantages and disadvantages, then find that KMV model is a more appropriate method of advanced metering applications in china.The third chapter is to introduce KMV model and its modification. This chapter firstly briefly introduce KMV model; secondly, based on the realities of China’s capital market, it presents that the key parameters default point KMV model can be corrected; and finally, it use of domestic 2009 In the period to June 2014 for the first time are marked* ST’s 116 company as sample data, it is concluded that our country’s default point formula should add 0.59 times of long-term debt and short-term debt.The fourth chapter analyzes the empirical correction of KMV model. Modified KMV model is used to measure the credit risk of commercial banks, and the empirical results show that the modified model is better able to measure the distance to default and the expected probability of default between non-ST and ST corporate enterprises.\The fifth Chapter is conclusion and recommendation. It summarizes the main conclusions of the article, and gives special policy recommendations to enhance the bank’s credit risk measurement level:strengthening data collection; building default database; actively promoting the internal rating system; accelerating the modification and the use of KMV model; Training modern credit risk management professionals. |
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