Research And Improvement Of Credit Risk Measurement Models

Since the reform and opening up, China’s rapid economic development, the degreeof financial and economic integration is also increasing. Commercial Bank of China’sfinancial industry as a very important component of the risk, it will largely affect thestability and development of the financial markets. China’s commercial banks credit riskis the most important financial risks. Therefore, how to effectively predict credit riskand control of commercial banks is a serious problem to China’s financial markets.This paper introduces the research status at home and abroad credit riskmeasurement models, and to analyze the current situation at home and abroad torecognize our shortcomings and deficiencies in the credit risk management ofcommercial banks in existence. Secondly, in order to better research model, the papermakes a preliminary introduction of some aspects, such as a detailed knowledge ofcredit risk, the reasons for the existence of risk, construction risk management system,and how to reduce credit risk. Furthermore, the paper analysis tradition and modern riskmeasurement model, including the introduction of their principles, advantages anddisadvantages, and eventually elect a better risk prediction model for companies.Finally,the paper uses the panel threshold model to correct the default threshold. The paperselects the current liabilities ratio and non-current liabilities ratio as the thresholdvariable, and takes a significant test for the default thresholds improving formula if itexists divided phenomenon. Next, the model is applied to the9listed companies,theresult shows the model can distinguish between good and normal business enterprisebreach. In addition, the paper makes K-S test for the selected83credit good corporateand100default enterprises, the result shows the new improved model has betterrecognition.