中国民营银行信用风险度量研究——基于修正KMV模型

Research on the Credit Risk Measurement of China′s Private Banks—Based on Modified KMV Model

我国民营银行起步晚、发展时间短,存在较高信用风险。研究基于民营银行信用风险特征,选取19家民营银行作为研究对象,采用修正KMV模型测算和比较上市商业银行和非上市民营银行信用风险现状。研究实证发现:修正KMV模型对上市商业银行和非上市民营银行信用风险评估有效且与第三方评级机构给出的信用评级结果一致;非上市民营银行信用风险大于上市商业银行,民营银行应从信用体系、业务发展、人才培养、金融科技四个方面提升银行安全,保障银行良性发展。

Private banks start late,develop for a short time,and have high credit risks.Based on the credit risk characteristics of private banks,the study selects 19 private banks as the research object,and uses the Modified KMV model to calculate and compare the credit risks of listed commercial banks and unlisted private banks.The empirical research finds that the Modified KMV model is effective in assessing the credit risk of listed commercial banks and unlisted private banks and is consistent with the credit rating results given by third-party rating agencies.The result suggests that the credit risk of unlisted private banks is greater than that of listed commercial banks.Private banks should improve bank security and ensure the sound development of banks from four aspects:credit system,business development,talent training,and financial technology.