The Commercial Bank Credit Risk Research Based On The KMV Model

Accompanied by the fact that the RMB joined the SDRS,banking industry is more and more open to the outside world.This brings more opportunities,however,making the banking industry face more and more fierce international competition.With all kinds of financial innovation products pouring into China's financial market,banking credit risk is becoming more complicated and varied.Our country has just carried out the deposit insurance policy,which means that the bank has the possibility of bankruptcy.Credit risk refers to the risk of economic loss caused by one party's breach of contract.This paper studies the present situation of credit risk of commercial banks and the factors influencing the credit risk.At present,the mainstream methods of credit risk measurement are Metric Credit model,Risk+ Credit model and KMV model.In this paper,the KMV model is used as a theoretical model by comparing several main models.The data of 16 listed commercial banks from 2007 to 2015 are selected as the sample,and they are divided into three sample groups according to their differences among the condition of assets,the development of history and the management mode.The credit default risk of our country's commercial banks is calculated by using the KMV model,and in the process,the annual rate of change of stock price,the distance-to-default and the expected default rate are selected as the indices to evaluate the risk of credit default.The empirical results of this paper show that the credit risk of listed commercial banks in our country is instability.The state-owned banks have the smallest credit default risk.The local commercial banks have the maximum default risk,this indicates that the credit risk management mechanism is not perfect,so the bank needs to strengthen their credit risk management.This paper analyzes the possible factors affecting the credit risk of the commercial bank,and chooses four indexes from the macro factors and micro factors:GDP growth rate,M2 money supply growth rate,liquidity ratio,non-performing loan rate.Using the model analyzes the four indicators of the impact of the distance to default.It is concluded that the GDP growth rate,M2 money supply growth rate,the non-performing loan rate of default distance have the greatest impact.At the end of this paper,the corresponding policy recommendations are put forward based on the conclusion.