Proceedings of the 2015 International conference on Engineering Management, Engineering Education and Information Technology

Commercial bank credit risk measurement based on KMV model studies

Authors
Chun-Ping Wang, Lin-Jing Qu, Jian-Wei Li
Corresponding Author
Chun-Ping Wang
Available Online November 2015.
DOI
https://doi.org/10.2991/emeeit-15.2015.88How to use a DOI?
Keywords
The KMV model; Commercial Banks; ST companies; The credit risk
Abstract

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.

Copyright
© 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/).

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Volume Title
Proceedings of the 2015 International conference on Engineering Management, Engineering Education and Information Technology
Series
Advances in Computer Science Research
Publication Date
November 2015
ISBN
978-94-6252-121-6
ISSN
2352-538X
DOI
https://doi.org/10.2991/emeeit-15.2015.88How to use a DOI?
Copyright
© 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  - https://doi.org/10.2991/emeeit-15.2015.88
ID  - Wang2015/11
ER  -