Commercial bank credit risk measurement based on KMV model studies
Chun-Ping Wang, Lin-Jing Qu, Jian-Wei Li
Available Online November 2015.
- 10.2991/emeeit-15.2015.88How to use a DOI?
- The KMV model; Commercial Banks; ST companies; The credit risk
In this article, through selecting the KMV model in the theory of modern credit risk measurement as our country commercial bank credit risk measure, based on the 2014 commercial bank loans to customers (including 10 normal and 10 ST enterprises) of financial data and stock trading data, by measuring the sample companies default distance, then get the sample companies expected default rate, the empirical results show that the expected default rate can well reflect the credit risk of listed companies, KMV model prediction ability strong;In addition, the commercial Banks with the normal business cooperation, the lower the credit risk in the cooperation with ST enterprise credit risk is higher.
- © 2015, the Authors. Published by Atlantis Press.
- Open Access
- This is an open access article distributed under the CC BY-NC license (http://creativecommons.org/licenses/by-nc/4.0/).
Cite this article
TY - CONF AU - Chun-Ping Wang AU - Lin-Jing Qu AU - Jian-Wei Li PY - 2015/11 DA - 2015/11 TI - Commercial bank credit risk measurement based on KMV model studies BT - Proceedings of the 2015 International conference on Engineering Management, Engineering Education and Information Technology PB - Atlantis Press SP - 456 EP - 465 SN - 2352-538X UR - https://doi.org/10.2991/emeeit-15.2015.88 DO - 10.2991/emeeit-15.2015.88 ID - Wang2015/11 ER -