上市全国性股份制商业银行信用风险度量--基于KMV模型  

The Credit Risk Evaluation of Listed National Joint-Stock Commercial Banks-Based on KMV Model

作　　者：李宾[1] 覃子岳 蓝勇平 Li Bin;Qin Ziyue;Lan Yongping

机构地区：[1]广西财经学院金融与保险学院 [2]兴业证券股份有限公司固定收益业务总部 [3]广西壮族自治区地方金融监督管理局

出　　处：《经济研究参考》2022年第12期125-136,共12页Review of Economic Research

摘　　要：现阶段,我国正面临复杂多变的国内外形势,处于防范化解重大风险、推动实体经济发展的关键时期。发展实体经济离不开金融支持,防范化解重大风险,关键是防范金融风险,信用风险是其中最主要最突出的一类。通过整理我国8家上市全国性股份制商业银行2011~2021年的数据,运用KMV模型测算违约距离与违约概率,对8家银行进行信用风险度量,发现其信用风险整体偏高、波动较大,且对外界影响因素敏感度各异。因此,需从外部政策和内部管理两方面入手,降低股份制商业银行的信用风险,筑牢安全底线。At present,China is facing the complicated and changeable situation at home and abroad,and is in the critical period of preventing and resolving major risks and promoting the development of real economy.The development of the real economy can not do without financial support,and the key is to guard against and defuse major risks,of which credit risk is the most prominent.By collecting the data of eight listed national joint-stock commercial banks in China from 2011 to 2021,and using KMV model to calculate the default distance and default probability,this paper evaluates the credit risk of these eight banks.It is found that the overall credit risk is high and fluctuating,and the sensitivity to external factors is different.Therefore,it is necessary to reduce the credit risk of joint-stock commercial banks from two aspects of external policy and internal management,and to build a secure bottom line.

关 键 词：KMV模型 信用风险 违约距离 违约概率 全国性股份制商业银行 

分 类 号：F832.33[经济管理—金融学] F832.5