Commercial bank credit risk measurement based on KMV model studies

DOI

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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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  -