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2086. Based on the applicability of the KMV model in Chinese commercial banks
Invited abstract in session MD-51: Portfolio risk management, stream Risk management in finance.
Monday, 14:30-16:00Room: M5 (building: 101)
Authors (first author is the speaker)
| 1. | Shikai Gao
|
| Finance, VSB – Technical University of Ostrava |
Abstract
The project selected ten listed commercial banks as the research object, and based on the financial data of the sample banks in 2022, the KMV model was used to measure the credit risk of the banks. The aim of this project will be to test the applicability of the KMV model in the measurement of the credit risk of commercial banks in China. First, the volatility of stock prices, the value of bank assets, and their volatility are calculated according to the Black-Scholes option pricing model. Then the KMV model is applied to calculate the default distance of each commercial bank. Finally, the expected default frequency is obtained. The expected default frequency obtained is compared with the standard range of Standard & Poor's and Moody's ratings. The final results show that the expected default frequency of the banks calculated using the KMV model generally matches the credit ratings of the banks by the credit rating agencies. The higher the expected default frequency, the lower the credit rating. Lastly, relevant suggestions are made for commercial banks to improve credit quality and strengthen the level of supervision.
Keywords
- Risk Analysis and Management
- Finance and Banking
Status: accepted
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