KMV模型在我国商业银行信用风险度量中的具体应用——以工商银行和南京银行为例

The Specific Application of KMV Model in the Credit Risk Measurement of Commercial Banks in China—A Case Study of Industrial and Commercial Bank of China and Bank of Nanjing

摘要: 我国商业银行在发展过程中必须面对的最重要的风险之一就是信用风险。对信用风险的研究为商业银行降低不良贷款率、开展有效的信贷风险管理提供了理论框架。目前，对我国商业银行信用风险的研究主要集中在理论和定性分析方面，定量分析方面的研究较少。本文运用KMV模型，对我国商业银行的信用风险进行了实证研究，具有重要的理论意义和现实意义。本文首先强调了信用风险管理对银行企业的重要性，然后分析了我国银行信用风险管理的现状，最后以中国工商银行和南京银行为例，运用KMV模型对信用风险进行了评价。

Abstract: One of the most important risks that commercial banks in China must face in the process of development is credit risk. The study of credit risk provides a theoretical framework for commercial banks to reduce the rate of non-performing loans and carry out effective credit risk management. At present, the research on credit risk of China’s commercial banks mainly focuses on theory and qualitative analysis, with less research on quantitative analysis. This paper utilizes the KMV model to conduct an empirical study on the credit risk of China’s commercial banks, which is of great theoretical significance and practical significance. This paper firstly emphasizes the importance of credit risk management to banking enterprises, then analyzes the current situation of credit risk management of banks in China, and finally evaluates the credit risk using the KMV model with Industrial and Commercial Bank of China and Bank of Nanjing as examples.