Non-financial Industry Asset Pricing Model Considering Bank Credit Risk

Asset pricing has always been the focus of the financial sector.In recent years,with the continuous development and growth of the global financial market,the direct or indirect influence of financial intermediaries on corporate credit has become more and more obvious.As an important part of financial intermediaries,the health of banks' loan business has attracted more and more attention and become a particularly important part in the field of financial risk management.So this article studies the main content of the is the bank credit risk in Banks' risk management,through the establishment of more than two factor model,the financial market data was used to study the bank credit risk to the influence of the non-financial asset pricing,and through to the bank credit risk measurement,probe into its explanation for the excess yield ability and risk premium.In this paper,the experimental data for between January 2010 and December 2019,the Shanghai and shenzhen a-share listed non-financial companies and major domestic13 commercial Banks,the use of bank credit risk measurement model to calculate each bank default distance,overall structure represents 13 bank credit risk factor,and analyze the bank credit risk factor and the traditional market factor,the correlation of the SMB factor and HML factor,check whether bank credit risk factor contains other impact factors.Then the modeling process includes single-factor modeling of bank credit risk factors and two-factor modeling of traditional market factors and bank credit risk factors,so as to verify the premium function and significance of bank risk factors.Finally,the bank credit risk factors are added to the Fama-French three-factor model for testing,and the premium function and significance of the bank credit risk factors are verified once again.The results show that:(1)at present,the credit risk of banks in Shanghai and shenzhen a-shares in China's financial market shows A very significant premium effect and excess returns,which can be referred to as A factor for asset pricing in non-financial sectors;(2)In the two-factor model,the correlation between bank credit risk factors and traditional market factors is very low,and the correlation between bank credit risk factors and SMB factors and HML factors in the Fama-French three-factor model is also low;(3)The performance effect of the four-factor model constructed by introducing bank credit risk factors is more significant than that of the two-factor model.