A novel KMV-based commercial bank credit risk assessment model
Xian Sheng Chen
COMPUTER MODELLING & NEW TECHNOLOGIES 2014 18(12C) 1138-1143
School of Management, HeFei University of Technology, Anhui PR China
Commercial banks has great risks. Commercial banks credit risk evaluation, as an effective way of financial regulation, is an integral part of banking regulation system. Given that scholars applied the same credit risk evaluation method to all kinds of banks, error are unavoidable. This paper targets at Z BANK, a commercial bank in China and designs a suitable credit risk evaluation model to evaluate its customer credit and debt credit. This paper draws KMV method when calculating the possibility of default PD. With some adjustments, this method can be applied to other commercial banks, providing an effective approach to financial regulation in China.