Commercial bank credit risk measurement based on KMV model studies

摘要

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.