党的二十大报告指出,打好防范化解重大风险的攻坚战,重点是防控金融风险,信用风险是其最主要的风险之一,信用风险会导致银行破产,引发金融危机,甚至会导致全球经济动荡不安,因而信用风险是目前商业银行等金融机构所面临的重要的风险之一。本文选取国内7家上市股份制商业银行2013~2023年的数据,运用KMV模型测算违约距离与违约概率,从而度量其信用风险,并研究影响其信用风险的因素,研究结果表明,违约距离越小,信用风险越大,股权价值波动率对于违约概率存在着正向的显著影响,上市商业银行的股权价值波动率越高,违约概率就越大,信用风险越高,此外,不同股份制商业银行由于对外界风险因素的敏感度有所不同,加之其内部风险管理工作的成效各异,其信用风险存在差异。The report of the 20th National Congress of the Communist Party of China states that in the critical battle of preventing and defusing major risks, the focus is on preventing and controlling financial risks. Credit risk is one of the most prominent risks. Credit risk can lead to bank bankruptcies, trigger financial crises, and even cause global economic turmoil. Therefore, credit risk is one of the major risks faced by financial institutions such as commercial banks. This paper selects the data of 7 domestic listed joint-stock commercial banks from 2013 to 2023, uses the KMV model to calculate the distance to default and the probability of default, so as to measure their credit risks, and studies the factors influencing their credit risks. The research results show that the smaller the distance to default, the greater the credit risk. The volatility of equity value has a significant positive impact on the probability of default. The higher the volatility of the equity value of listed commercial banks, the greater the probability of default and the higher the credit risk. In addition, due to the different sensitivities of different join
