Research on Credit Risk Assessment of Commercial Banks Based on KMV Model
Yan Bingzheng, Bai Puxian · Social Sciences · 2021
Under the background of the new normal economy, the financing mode of local governments has changed, which has led to the emergence of a new pattern in China's financing market. Under this background, banks are facing the development pressure of subject diversification, financial disintermediation and cross-border competition. Commercial banks also actively promote the compliance development of emerging businesses such as financial market through the "comprehensive direction", so as to form a balanced and complementary development situation with traditional credit business. Therefore, this paper taking credit risk and related theories as the starting point, KMV model is selected to study domestic bank risk monitoring. Then, China Merchants Bank is taken as the research object, Shengjing Bank, Harbin Bank, Qingdao Bank and Chongqing Bank are taken as horizontal comparison. The data sampling time span is January to December 2018, as vertical comparison. Five banks were evaluated for credit risk, and it was found that the default distance of China Merchants Bank was relatively small and the default probability was relatively large. However, according to the calculation and analysis of KMV model, the default probability and return volatility of China Merchants Bank rank first among the five commercial banks, but at the same time, it maintains a high net profit margin of 129.3% in 2018, which shows that China Merchants Bank has a strong ability to control credit risk.