Research On Credit Risk Measurement Based On Macroeconomic Perspective

As one of main risk,effectively measuring and managing credit risk is not only beneficial to microeconomic units,but also to the stable operation of the macroeconomic environment.Along with the advancement of financial innovation,the researches on credit risk theories and measurement have gone deeply.The method of credit risk measurement has realizes the transform from qualitative and static analysis to quantitative and dynamic analysis.Early research mainly focused on the relationship between micro individuals' balance sheets,debt-paying ability,earning ability with the probability of default.The outbreak of the economic crisis forced people to pay attention to the macroeconomic impact.The existing methods of credit risk measurement either just based on microeconomic individual structure,or only from the macroeconomic environment.Few models comprehensively considered the effect of macroeconomic and microeconomic for credit risk.In order to more comprehensively and accurately in measuring credit risk,the paper is committed to construct the model which contains macroeconomic and microeconomic characteristics.First,the article briefly introduces the concept of credit risk,which characteristic it has and how to measure it.Based on the theory of the Financial Fragility and the theory of Margins of safety,the article analyzes the macroeconomic impact on credit risk mechanism from macroeconomic cycle and macroeconomic policy.It selects commercial banks' non-performing loan ratio and macroeconomic variables for empirical analysis.It provides the basis for the introduction of the macro variables in the model.Next,based on the principle of KMV model,macroeconomic variables are added to the set of default point to construct MM-KMV model which combines microeconomic feature with macroeconomic environment.The paper uses the stock market data to test the ability of MM-KMV model on identifying and warning default risk.The results show that default distances of the enterprises in default are significantly different from enterprises which are non-default.As default distance can measure the risk of default.It can be concluded that the model has good capability on identifying default risk.Through tracking default corporation distance,it finds the default distance fluctuates fiercely and appears significant downtrend.So MM-KMV model can effectively warning default.This paper also compares the effectiveness of MM-KMV model with KMV model.The result shows the MM-KMV model is little better than KMV model in terms of default judgment and warning.In the end,the paper suggests companies,financial institutions and their regulators and economic policymakers fully consider the impact of macroeconomic environment on credit risk.