基于CPV模型的商业银行信贷风险实证分析

Empirical Analysis on the Risk of Credit Loan of the Commercial Bank Based on the CPV Model

文章主要依据Credit Portfolio View模型(以下简称为CPV模型)的理论思想,对商业银行信贷风险度量模型进行实证分析.实证结果表明,货币供应量、居民消费价格指数、城镇固定资产投资、社会消费品零售总额、一年期利率以及企业景气指数这6个宏观经济指标较好地协同拟合宏观经济指数,进而在预测商业银行信贷违约率方面具有较好的效果.

Based on the theory of the credit portfolio view model （hereafter called the CPV model）, this pa- per makes an empirical analysis on the credit risk measurement model of commercial banks.Results show that the six macroeconomic indicators, which are the money supply, consumer price index, urban fixed asset investment,total retail sales of social consumer goods ,the one-year interest rate and the business climate in- dex, well fit the macroeconomic index and have a good effect on the prediction of commercial banks＇ credit default rates.