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1. 1. CREDIT RISK MANAGEMENT OF THE CHINESE BANKS BASED ON THE KMV MODEL

   University essay from Lunds universitet/Nationalekonomiska institutionen

   Author : Junxian Li; Maureen Olsson Lo; [2009]
   Keywords : credit risk; risk management; Chinese Banks; Moody’s KMV; Economics; econometrics; economic theory; economic systems; economic policy; Nationalekonomi; ekonometri; ekonomisk teori; ekonomiska system; ekonomisk politik; Business and Economics;

   Abstract : Due to the increasing need for advanced credit risk management and lacking quantitative credit risk measurement modeling at the Chinese banks, the purpose of this dissertation is to study the feasibility of applying the Western credit risk model, the Moody’s KMV (MKMV), to China. Because of the particular Chinese considerations, such as developing stage of financial market and lacking of default data, a modified MKMV model is suggested and tested. READ MORE