基于KMV模型的我国商业银行信贷风险度量研究.docxVIP

经典专科、本科、硕博、研究生、期刊毕业论文 经典2019成稿 仅供参考 精心整理 仅供参考 勿用作商业用途 基于KMV模型的我国商业银行信贷风险度量研究 摘要 随着经济全球化的深入，世界经济逐渐演变为一个整体。今金融市场向着信息化、国际化和自由化方向不断发展。商业银行在复杂多变的宏观经济环境中，既有着发展机会，也面临着诸多挑战。商业银行信贷风险是商业银行的传统风险，是银行诸多风险中的一个重要组成部分。我国商业银行度量信贷风险的能力的增强和合适的信贷风险度量方法不仅可以促进银行稳健经营，也对国家经济健康发展和维护社会稳定起着积极作用。 本文从首先从研究的背景和意义出发，介绍了文章的主要内容和文章框架。其次，在阐述商业银行信贷风险的定义、产生的原因及识别信贷风险的方法的基础上，着重介绍了商业银行传统的和现代的信贷风险度量的模型。再次，通过对KMV模型理论基础、假设前提以及求解过程的论述，对选取的十二家上市公司的信贷风险进行实证分析，得到KMV模型可以帮助我国商业银行度量贷款公司的信贷风险；最后从信贷风险模型建立、信贷流程健全以及信贷人才培养出发方面，为提高商业银行信贷风险度量的能力提出政策和建议。 关键词：信贷风险；KMV模型；违约距离； Abstract With the deepening of economic globalization, the world economy has become a whole inch by inch . In toady’s world, financial market is becoming more and more informationlized, internationalized and liberalized. In the complex and ever-changing macroeconomic environment, commercial banks have both development opportunities and many challenges. The credit risk of commercial banks is the traditional risk of commercial banks and an important part of many risks of banks. The enhancement of the ability of Chinese commercial banks to measure credit risk and the appropriate measurement methods of credit risk can not only promote the steady operation of banks, but also play a positive role in the healthy development of national economy and the maintenance of social stability. This paper introduces the main content and article framework of the essay from the setting and importance of the study. Secondly, on the basis of explaining the definition, causes and methods of identifying credit risk of commercial banks, this paper emphatically introduces the traditional and modern credit risk measurement models of commercial banks. Thirdly, by discussing the theoretical basis, hypothetical premises and solving process of KMV model, this paper makes an empirical analysis of the credit risk of twelve listed companies, and obtains that KMV model can help Chinese commercial banks to measure company’s risk. Finally, starting from the establishment of credit