Empirical Analysis of Default Risk in Chinese Listed Commercial Banks

Wang, Guo-Hua (2017) Empirical Analysis of Default Risk in Chinese Listed Commercial Banks. [Dissertation (University of Nottingham only)]

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Abstract

Abstract

As the development of global finance, risks faced by commercial banks increases at the same time. The mismanagement of risks will lead to the financial crisis, especially for banks which are important parts in the whole society. Default risk, which is one of the main risks of banks, has been widely studied through different measurements. In this dissertation, the default risk of banks has been evaluated through Z-score and KMV model and the systematic and systemic features of default risk have been discussed based on 14 listed banks in Shanghai exchange. Additionally, the relationship between liquidity risk and default risk has been analysed. The results show that the default risk in banks have effect on the banking industry and the Shanghai exchange market. Therefore, the indicator of default risk in banks can be used to predict the fluctuation in banking industry and the whole market.

Key words: default risk; systematic risk; systemic risk; liquidity risk

Item Type: Dissertation (University of Nottingham only)
Keywords: default risk; systematic risk; systemic risk; liquidity risk
Depositing User: Wang, Guohua
Date Deposited: 12 Apr 2018 09:33
Last Modified: 17 Apr 2018 14:59
URI: http://eprints.nottingham.ac.uk/id/eprint/46253

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