国内部分上市商业银行信用风险的测定

The Measurement of Some Domestic and Listed Commercial Banks' Credit Risk

商业银行是金融业的核心组成部分,其风险状况直接影响到金融市场乃至整个社会的稳定。运用KMV模型对国内14家商业银行进行了信用风险的测定,测算出每家银行违约概率,从而确定其违约风险的大小,并对结果进行比较分析。用定量的方法更直观地展现了商业银行的信用风险状况。

Commercial banks are a core component of the financial industry,the risk of commercial banks will have a direct impact on financial markets.In this paper,the credit risk of fourteen domestic commercial banks is measured with KMV model.Each of these banks’ probability of default will help us to know the credit risk of these commercial banks,while analyzing the estimation results.It can be more clearly to show the commercial bank＇s credit risk quantitatively.