Credit risk Measurement of Commercial Banks in China at the present stage

DOI

10.2991/wrarm-19.2019.15How to use a DOI?

Keywords

Credit Risk; KMV; Commercial Bank

Abstract

Taking 25 commercial banks in 2018 as data samples, this paper uses kmv model to measure their credit risk, and evaluates 25 commercial banks in S & P, Moody's rating default probability mapping relationship. The results show that in mid-2018, the credit risk of 25 commercial banks is measured by means of the standard & poor's, Moody's and Moody's rating probability. Most of the 25 commercial banks have lower credit risk; Wuxi Bank exposed a large risk position; Hangzhou Bank second. Beijing, China, Xingye, Jiangsu, Pufa, Transportation, Industry and Commerce, Agriculture, Merchants, Construction, CITIC, Everbright, Sunong, Nanjing, Ningbo, Minsheng, Changshu, Ping an, Jiangyin, Guiyang Bank Standard & Poor's rating ≥aa, Moody's rating ≥ aa2; China, Zhangjiagang, Bank of Shanghai Standard & Poor's rating is aa/a, Moody's rating is A1; Hangzhou Bank's Standard & Poor's rating is a/bbb; Moody's rating is baa1; Wuxi Bank Standard & Poor's rating is bbb-/bb, Moody's rating is ba1.

Copyright

© 2019, 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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TY  - CONF
AU  - Jiabin Li
AU  - Lei Zhang
AU  - Changzhe Deng
PY  - 2019/09
DA  - 2019/09
TI  - Credit risk Measurement of Commercial Banks in China at the present stage
BT  - Proceedings of the Sixth Symposium of Risk Analysis and Risk Management in Western China (WRARM 2019)
PB  - Atlantis Press
SP  - 80
EP  - 83
SN  - 1951-6851
UR  - https://doi.org/10.2991/wrarm-19.2019.15
DO  - 10.2991/wrarm-19.2019.15
ID  - Li2019/09
ER  -