Abstract
Under the background of the new normal economy, the financing mode of local governments has changed, which has led to the emergence of a new pattern in China's financing market. Under this background, banks are facing the development pressure of subject diversification, financial disintermediation and cross-border competition. Commercial banks also actively promote the compliance development of emerging businesses such as financial market through the "comprehensive direction", so as to form a balanced and complementary development situation with traditional credit business. Therefore, this paper taking credit risk and related theories as the starting point, KMV model is selected to study domestic bank risk monitoring. Then, China Merchants Bank is taken as the research object, Shengjing Bank, Harbin Bank, Qingdao Bank and Chongqing Bank are taken as horizontal comparison. The data sampling time span is January to December 2018, as vertical comparison. Five banks were evaluated for credit risk, and it was found that the default distance of China Merchants Bank was relatively small and the default probability was relatively large. However, according to the calculation and analysis of KMV model, the default probability and return volatility of China Merchants Bank rank first among the five commercial banks, but at the same time, it maintains a high net profit margin of 129.3% in 2018, which shows that China Merchants Bank has a strong ability to control credit risk.
Highlights
Foreign advanced countries have set up a proprietary default database for bank default, which can accurately analyse bank credit risk
At present, the credit risk assessment in our country can only borrow the calculation of the distance of violation to get the value of default probability, and there is a big error in the calculation process, which can not be practically applied to the prevention and control system of bank credit risk
The KMV model is used to predict the risk of five major commercial banks in China, and the research conclusions are as follows: First, the application of this model proves that there is a negative correlation between default distance and default probability
Summary
In 2019, the world economy began to slow down, while China's economy is experiencing some difficulties. The domestic economic growth is slowing down, and the economic structure is facing reform Under these circumstances, many domestic banking institutions begin to face challenges from various problems such as insufficient effective credit and increased risk resistance. With the gradual decrease of bank deposit and loan interest rates in China, China's commercial banks need to upgrade their ability to expand their business Based on this unfavorable situation, it is difficult for some banks to obtain economic benefits on risky assets, and the development trend is. Yan Bingzheng and Bai Puxian: Research on Credit Risk Assessment of Commercial Banks Based on KMV Model becoming increasingly severe [3] This shows that China's commercial banks still have the problems of great downward pressure and high operating credit risk under the condition of low overall asset quality. I will focus on the credit risk of China Merchants Bank, and provide some methods to evaluate the credit risk of commercial banks for some governments or local supervisory institutions in order to improve the ability of banks to avoid risks to a certain extent
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