摘要
KMV模型是近年来在国际金融领域信用风险管理方面的重要模型之一,就其本身的框架而言,该方法实际上是在一定的假设前提下,通过计算违约距离与预期违约率量化信用风险,它包括了一整套的分析方法和数据库。本文主要以江苏省10家具有代表性的农村商业银行为样本进行实证调研分析,基于2013年各行的财务报告与财务数据,运用KMV模型的基本算法与思路对其信用风险进行度量,最后,根据实证分析的结果,针对江苏省农村商业银行信用风险管理提出相应的完善措施。
KMV model is one of the most important model in credit risk management around world. This paper bases on some hypothesis and measure the credit risk by Default Distance and Expected Default Frequency, including a set of analytic methods and database. This article mainly uses 10 representative agriculture business banks in Jiangsu province as a sample for empirical analysis, based on the financial report of each bank in 2013, using the KMV model to measure its credit risk.According to the result of empirical analysis, the paper put forward some suggestions based on the current situation of credit risk management of Jiangsu agriculture business banks.
出处
《财务与金融》
2015年第1期13-17,79,共6页
Accounting and Finance
基金
大学生创新基金(201413655011Y)
江苏省教育厅高校哲学社会科学基金(2013SJD630089)
江苏省社科基金(11GLB007)
关键词
KMV模型
信用风险
违约距离
预期违约率
KMV Model
The Credit Risk
Default Distance
Expected Default Frequency
