Research of the Commercial Banks'Credit Risk Based on CPV Model

摘要

Based on CPV model,this paper select from the business climate index,the RMB long-term lending rate,the RMB real effective exchange rate,financial institutions, which were fitted to the Chinese commercial bank credit risk metric and forecasting.Studies have shown that both of the real effective exchange rate of RMB and RMB loans has a greater impact on the loan default rates,and loan default rates are negatively correlated.