Proceedings of the Sixth Symposium of Risk Analysis and Risk Management in Western China (WRARM 2019)

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

Authors
Jiabin Li, Lei Zhang, Changzhe Deng
Corresponding Author
Lei Zhang
Available Online September 2019.
DOI
https://doi.org/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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Volume Title
Proceedings of the Sixth Symposium of Risk Analysis and Risk Management in Western China (WRARM 2019)
Series
Advances in Intelligent Systems Research
Publication Date
September 2019
ISBN
978-94-6252-793-5
ISSN
1951-6851
DOI
https://doi.org/10.2991/wrarm-19.2019.15How to use a DOI?
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/).

Cite this article

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  - https://doi.org/10.2991/wrarm-19.2019.15
ID  - Li2019/09
ER  -