我国上市商业银行信用风险度量研究——基于KMV模型
Research on Credit Risk Measurement of Listed Commercial Banks in China—Based on KMV model

商业银行是我国金融体系的核心组成部分，对国民经济发挥着重要作用，银行业产生危机会对整个经济体系产生巨大冲击。信用风险涉及到商业银行各个业务环节，对银行的经营和金融稳定性具有至关重要的影响。文章运用Python编程语言，收集和分析我国20家上市银行的2022年相关财务数据以及股市交易数据，建立KMV模型，测算出各银行的违约概率。研究发现，受股票市场价格的影响，商业银行的资产价值普遍高于其股权价值，但是资产价值的波动率却远低于股权市值的波动率。国有银行相对于股份制银行而言其信用风险相对较低，城商行信用风险相对较高。基于研究结果，本文提出了一些建议，以改善我国上市银行的信用风险管理，以期加强我国上市银行的风险防控能力。
Commercial banks are the core component of China’s financial system and play an important role in the national economy, and a crisis in the banking sector will have a huge impact on the entire economic system. Credit risk involves all business segments of commercial banks and has a crucial impact on bank operations and financial stability. Using Python programming language, the article collects and analyzes the 2022 relevant financial data of 20 listed banks in China as well as stock market trading data, establishes the KMV model, and measures the default probability of each bank. It is found that the asset value of commercial banks is generally higher than their equity value due to the stock market price, but the volatility of the asset value is much lower than the volatility of the equity market value. The credit risk of state-owned banks is relatively lower than that of joint-stock banks, and the credit risk of urban commercial banks is relatively higher. Based on the results of the study, this paper puts forward some suggestions to improve the credit risk management of China’s listed banks, with a view to strengthening the risk prevention and control capabilities of China’s listed banks.