我国15家上市商业银行信用风险度量研究——基于KMV模型

Research on Credit Risk Measurement of 15 Listed Commercial Banks in China—Based on the KMV Model

摘要: 本文基于我国15家上市商业银行数据，运用KMV模型实证分析衡量商业银行的违约风险，并且将15家银行分为三类分别分析，同时分析公共安全危机冲击对商业银行违约风险的影响。研究发现：第一，我国银行业整体的风险处于可控状态。第二，我国的国有控股银行是我国银行业的“大心脏”，起到了稳定我国金融体系的重要作用。第三，全国性股份制银行和城市商业银行的违约距离虽然较低，但他们的波动较小。本文在研究基础上，结合国内外银行业的事件，对商业银行信用风险管理提出了几点建议。

Abstract: Based on the data of 15 listed commercial banks in China, this paper uses the KMV model to empirically analyze the default risk of commercial banks, divides the 15 banks into three categories for analysis, and analyzes the impact of the impact of public security crisis on the default risk of commercial banks. The results show that: First, the overall risk of China’s banking industry is under control. Second, China’s state-controlled banks are the “big heart” of China’s banking industry and play an important role in stabilizing China’s financial system. Third, although the default distance of national joint-stock banks and city commercial banks is low, they are less volatile. On the basis of research, this paper puts forward some suggestions for the credit risk management of commercial banks based on the events of the banking industry at home and abroad.