Low-rank modeling has many important applications in computer vision and machine learning. While the matrix rank is often approximated by the convex nuclear norm, the use of nonconvex low-rank regularizers has demonstrated better empirical performance. However, the resulting optimization problem is much more challenging. Recent state-of-the-art requires an expensive full SVD in each iteration. In this paper, we show that for many commonly-used nonconvex low-rank regularizers, a cutoff can be derived to automatically threshold the singular values obtained from the proximal operator. This allows such operator being efficiently approximated by power method. Based on it, we develop a proximal gradient algorithm (and its accelerated variant) with inexact proximal splitting and prove that a convergence rate of O(1/T) where T is the number of iterations is guaranteed. Furthermore, we show the proposed algorithm can be well parallelized, which achieves nearly linear speedup w.r.t the number of threads. Extensive experiments are performed on matrix completion and robust principal component analysis, which shows a significant speedup over the state-of-the-art. Moreover, the matrix solution obtained is more accurate and has a lower rank than that of the nuclear norm regularizer.