Research on Credit Risk Assessment of Commercial Banks Based on KMV Model

Yan Bingzheng; Bai Puxian

doi:doi:10.11648/j.ss.20211005.11

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Research on Credit Risk Assessment of Commercial Banks Based on KMV Model

Yan Bingzheng, Bai Puxian

Published in Social Sciences (Volume 10, Issue 5)

Received: 12 August 2021 Accepted: 6 September 2021 Published: 10 September 2021

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Abstract

Under the background of the new normal economy, the financing mode of local governments has changed, which has led to the emergence of a new pattern in China's financing market. Under this background, banks are facing the development pressure of subject diversification, financial disintermediation and cross-border competition. Commercial banks also actively promote the compliance development of emerging businesses such as financial market through the "comprehensive direction", so as to form a balanced and complementary development situation with traditional credit business. Therefore, this paper taking credit risk and related theories as the starting point, KMV model is selected to study domestic bank risk monitoring. Then, China Merchants Bank is taken as the research object, Shengjing Bank, Harbin Bank, Qingdao Bank and Chongqing Bank are taken as horizontal comparison. The data sampling time span is January to December 2018, as vertical comparison. Five banks were evaluated for credit risk, and it was found that the default distance of China Merchants Bank was relatively small and the default probability was relatively large. However, according to the calculation and analysis of KMV model, the default probability and return volatility of China Merchants Bank rank first among the five commercial banks, but at the same time, it maintains a high net profit margin of 129.3% in 2018, which shows that China Merchants Bank has a strong ability to control credit risk.

Published in	Social Sciences (Volume 10, Issue 5)
DOI	10.11648/j.ss.20211005.11
Page(s)	204-217
Creative Commons	This is an Open Access article, distributed under the terms of the Creative Commons Attribution 4.0 International License (http://creativecommons.org/licenses/by/4.0/), which permits unrestricted use, distribution and reproduction in any medium or format, provided the original work is properly cited.
Copyright	Copyright © The Author(s), 2024. Published by Science Publishing Group

Keywords

Internet Finance, Commercial Banks, Total Factor Productivity, Malmquist Index, Pool Data

References

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APA Style

Yan Bingzheng, Bai Puxian. (2021). Research on Credit Risk Assessment of Commercial Banks Based on KMV Model. Social Sciences, 10(5), 204-217. https://doi.org/10.11648/j.ss.20211005.11

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ACS Style

Yan Bingzheng; Bai Puxian. Research on Credit Risk Assessment of Commercial Banks Based on KMV Model. Soc. Sci. 2021, 10(5), 204-217. doi: 10.11648/j.ss.20211005.11

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AMA Style

Yan Bingzheng, Bai Puxian. Research on Credit Risk Assessment of Commercial Banks Based on KMV Model. Soc Sci. 2021;10(5):204-217. doi: 10.11648/j.ss.20211005.11

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@article{10.11648/j.ss.20211005.11,
  author = {Yan Bingzheng and Bai Puxian},
  title = {Research on Credit Risk Assessment of Commercial Banks Based on KMV Model},
  journal = {Social Sciences},
  volume = {10},
  number = {5},
  pages = {204-217},
  doi = {10.11648/j.ss.20211005.11},
  url = {https://doi.org/10.11648/j.ss.20211005.11},
  eprint = {https://article.sciencepublishinggroup.com/pdf/10.11648.j.ss.20211005.11},
  abstract = {Under the background of the new normal economy, the financing mode of local governments has changed, which has led to the emergence of a new pattern in China's financing market. Under this background, banks are facing the development pressure of subject diversification, financial disintermediation and cross-border competition. Commercial banks also actively promote the compliance development of emerging businesses such as financial market through the "comprehensive direction", so as to form a balanced and complementary development situation with traditional credit business. Therefore, this paper taking credit risk and related theories as the starting point, KMV model is selected to study domestic bank risk monitoring. Then, China Merchants Bank is taken as the research object, Shengjing Bank, Harbin Bank, Qingdao Bank and Chongqing Bank are taken as horizontal comparison. The data sampling time span is January to December 2018, as vertical comparison. Five banks were evaluated for credit risk, and it was found that the default distance of China Merchants Bank was relatively small and the default probability was relatively large. However, according to the calculation and analysis of KMV model, the default probability and return volatility of China Merchants Bank rank first among the five commercial banks, but at the same time, it maintains a high net profit margin of 129.3% in 2018, which shows that China Merchants Bank has a strong ability to control credit risk.},
 year = {2021}
}

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TY  - JOUR
T1  - Research on Credit Risk Assessment of Commercial Banks Based on KMV Model
AU  - Yan Bingzheng
AU  - Bai Puxian
Y1  - 2021/09/10
PY  - 2021
N1  - https://doi.org/10.11648/j.ss.20211005.11
DO  - 10.11648/j.ss.20211005.11
T2  - Social Sciences
JF  - Social Sciences
JO  - Social Sciences
SP  - 204
EP  - 217
PB  - Science Publishing Group
SN  - 2326-988X
UR  - https://doi.org/10.11648/j.ss.20211005.11
AB  - Under the background of the new normal economy, the financing mode of local governments has changed, which has led to the emergence of a new pattern in China's financing market. Under this background, banks are facing the development pressure of subject diversification, financial disintermediation and cross-border competition. Commercial banks also actively promote the compliance development of emerging businesses such as financial market through the "comprehensive direction", so as to form a balanced and complementary development situation with traditional credit business. Therefore, this paper taking credit risk and related theories as the starting point, KMV model is selected to study domestic bank risk monitoring. Then, China Merchants Bank is taken as the research object, Shengjing Bank, Harbin Bank, Qingdao Bank and Chongqing Bank are taken as horizontal comparison. The data sampling time span is January to December 2018, as vertical comparison. Five banks were evaluated for credit risk, and it was found that the default distance of China Merchants Bank was relatively small and the default probability was relatively large. However, according to the calculation and analysis of KMV model, the default probability and return volatility of China Merchants Bank rank first among the five commercial banks, but at the same time, it maintains a high net profit margin of 129.3% in 2018, which shows that China Merchants Bank has a strong ability to control credit risk.
VL  - 10
IS  - 5
ER  -

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Author Information

Yan Bingzheng

College of Professional Study, Northeastern University, Boston, United States
Bai Puxian

School of Business, University of Sydney, Sydney, Australia

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APA Style

Yan Bingzheng, Bai Puxian. (2021). Research on Credit Risk Assessment of Commercial Banks Based on KMV Model. Social Sciences, 10(5), 204-217. https://doi.org/10.11648/j.ss.20211005.11

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ACS Style

Yan Bingzheng; Bai Puxian. Research on Credit Risk Assessment of Commercial Banks Based on KMV Model. Soc. Sci. 2021, 10(5), 204-217. doi: 10.11648/j.ss.20211005.11

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AMA Style

Yan Bingzheng, Bai Puxian. Research on Credit Risk Assessment of Commercial Banks Based on KMV Model. Soc Sci. 2021;10(5):204-217. doi: 10.11648/j.ss.20211005.11

Copy | Download

@article{10.11648/j.ss.20211005.11,
  author = {Yan Bingzheng and Bai Puxian},
  title = {Research on Credit Risk Assessment of Commercial Banks Based on KMV Model},
  journal = {Social Sciences},
  volume = {10},
  number = {5},
  pages = {204-217},
  doi = {10.11648/j.ss.20211005.11},
  url = {https://doi.org/10.11648/j.ss.20211005.11},
  eprint = {https://article.sciencepublishinggroup.com/pdf/10.11648.j.ss.20211005.11},
  abstract = {Under the background of the new normal economy, the financing mode of local governments has changed, which has led to the emergence of a new pattern in China's financing market. Under this background, banks are facing the development pressure of subject diversification, financial disintermediation and cross-border competition. Commercial banks also actively promote the compliance development of emerging businesses such as financial market through the "comprehensive direction", so as to form a balanced and complementary development situation with traditional credit business. Therefore, this paper taking credit risk and related theories as the starting point, KMV model is selected to study domestic bank risk monitoring. Then, China Merchants Bank is taken as the research object, Shengjing Bank, Harbin Bank, Qingdao Bank and Chongqing Bank are taken as horizontal comparison. The data sampling time span is January to December 2018, as vertical comparison. Five banks were evaluated for credit risk, and it was found that the default distance of China Merchants Bank was relatively small and the default probability was relatively large. However, according to the calculation and analysis of KMV model, the default probability and return volatility of China Merchants Bank rank first among the five commercial banks, but at the same time, it maintains a high net profit margin of 129.3% in 2018, which shows that China Merchants Bank has a strong ability to control credit risk.},
 year = {2021}
}

Copy | Download

TY  - JOUR
T1  - Research on Credit Risk Assessment of Commercial Banks Based on KMV Model
AU  - Yan Bingzheng
AU  - Bai Puxian
Y1  - 2021/09/10
PY  - 2021
N1  - https://doi.org/10.11648/j.ss.20211005.11
DO  - 10.11648/j.ss.20211005.11
T2  - Social Sciences
JF  - Social Sciences
JO  - Social Sciences
SP  - 204
EP  - 217
PB  - Science Publishing Group
SN  - 2326-988X
UR  - https://doi.org/10.11648/j.ss.20211005.11
AB  - Under the background of the new normal economy, the financing mode of local governments has changed, which has led to the emergence of a new pattern in China's financing market. Under this background, banks are facing the development pressure of subject diversification, financial disintermediation and cross-border competition. Commercial banks also actively promote the compliance development of emerging businesses such as financial market through the "comprehensive direction", so as to form a balanced and complementary development situation with traditional credit business. Therefore, this paper taking credit risk and related theories as the starting point, KMV model is selected to study domestic bank risk monitoring. Then, China Merchants Bank is taken as the research object, Shengjing Bank, Harbin Bank, Qingdao Bank and Chongqing Bank are taken as horizontal comparison. The data sampling time span is January to December 2018, as vertical comparison. Five banks were evaluated for credit risk, and it was found that the default distance of China Merchants Bank was relatively small and the default probability was relatively large. However, according to the calculation and analysis of KMV model, the default probability and return volatility of China Merchants Bank rank first among the five commercial banks, but at the same time, it maintains a high net profit margin of 129.3% in 2018, which shows that China Merchants Bank has a strong ability to control credit risk.
VL  - 10
IS  - 5
ER  -

Copy | Download