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Credit Risk Theory And Applied Research

Posted on:2004-08-06Degree:DoctorType:Dissertation
Country:ChinaCandidate:D Y XiongFull Text:PDF
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Bank crises have occurred frequently all over the world since 1980s, they are mainly attributed to the wrongly understanding and inappropriate management method of the credit risk when the financial institutes face the complex and volatile financial market.Because large amount of loss are suffered from bank crises,we should deepen study of this field.Besides,Basle capital accord contributed to the internationalization of financial supervision,however,it need revising continually for its shortage.I divide credit risk theory into three parts for discussing.First,I analyze the characteristics of credit risk by modeling the pricing of the credit-risky assets.Credit risk can be affected by nonsystematic factors including corporate asset value,credit rating,default probability ,correlation,risk exposure and recovery ratio,meantime,it can be affected by systematic factors such as interest rate,commercial cycle and industry.Second,credit risk measuring is one of the most important part of credit risk theory.Four credit risk measuring models are compared in the fourth chapter,they are CreditMetrics,CreditRisk+,KMV and CreditPortfolioView,so thatI can generalize a basic framework for measuring credit risk.Only any measuring model adequately considers necessary factors,can the aacurate model output be assured.The application of credit risk theory includes two aspects,on one side,financial institutes can apply them to capital allocation,performance evaluation and portfolio decision.On the other side,supervisional authorities can regulate appropriate principles based on credit risk theory.Actually Basle capital accord can be perfected gradually through investigation and research on credit risk.Finally I empirically evaluate four big state-owned commercial banks comparing with world large international banking institutes.Our banks' performance and management ability are proved so poor that can jeopardize the safety of our national financial system.I offer some suggestion with respect to these problems.The first chapter gives some reasons about why I choose this topic as my dissertation,which are mainly the frailty of the financial system and the tendency of the internationalization of financial supervision.Besides,credit risk modeling theory and credit risk measuring method are overviewed in this chapter.The second chapter introduces some key concepts about credit risk thory,such as risk exposure,risk horizone,credit rating migration matrix,credit risk spread,default probability,credit correlation and recovery ratio,which can facilitate the subsequent analysis of credit risk theory.Using the pricing model of credit spread,I discuss the essential characteristics of credit risk in the thirdchapter in order to measure credit risk properly.Four measuring models of credit risk are compared in the fourth chapter,which can help us find more rational method to measure credit risk.In the fifth chapter I discuss the application of credit measuring theory,which includes capital allocation,performance evaluation and financial supervision.Financial institutes should allocate scarce capital to every asset properly so that can assure the safety,profitability and liquidity,regulatory authority should improve supervisory ability and maintain the safety of financial system,which need to establish a set of regulatory standards and enhance the transparency of information offered by financial institutes.The last chapter is the empirical analysis of our state-owned commercial banks with comparison of international large banking institutions.Their poor performance need our banks quickening the pace of reform in order to adapt to coming severe competition from international and home financial markets ,endeavoring to study foreign advancing risk management experiences to increase their competitive ability.
Keywords/Search Tags:credit risk, default probability, credit rating, recovery ratio
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