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Credit Risk Measurement And Management Research

Posted on:2004-06-27Degree:DoctorType:Dissertation
Country:ChinaCandidate:J ZhangFull Text:PDF
GTID:1116360095962668Subject:Political economy
Abstract/Summary:PDF Full Text Request
Credit is a very wide concept. In financial world, credit risk is the most important component of financial risk; it has special meanings and shows different characteristics. This article focuses on the credit risk of commercial banks for the credit risk is at the top of risk list of commercial banks. Credit risk is often confused with financial risk, in this article, I don't strictly distinguish them. The research on credit risk management system was based on deep investigation. Based on the above research and analysis, a set of risk management strategy for the financial environment of China is proposed. During the construction of the risk model, some of the technical details and analysis were simplified. Some intuitive analytical tools are used to explain what appears to be a complex topic. It concentrates on the economic implication behind these risk models. At the end of the article, there is a real case study, which demonstrates the whole process of risk model building and implementation.The article includes seven chapters as follows:Chapter 1 "Summary of credit risk". This introductory chapter briefly explains forms of financial risks and goals of financial risk management, which naturally leads to credit risk. It summarizes the measurements of credit risk and the relevant risk management theories. It investigates the reasons why there was a need for the revolutionary changes in the measurement techniques.Chapter 2 "Development and trend of credit risk management". Credit risk management differs from country to country due to the differences in government regulation, financial market, and financial products. This chapter traces the development of credit risk management as influenced by phases of Basel Accord, investigates the profound impact of the Agreement on the banking industry, explores the changes in credit asset's liquidity due to the emergence of credit derivatives and credit securitization. It ends with a brief introduction of the most recent development and trend in the management of international credit risk.Chapter 3 " Techniques in Measuring Credit Risk and Compare". There are many ways to measure credit risk. This chapter explains expert method, rating method, option pricing method, macro simulation method, insurance method, and so on. At the end of this chapter, it lists the advantages and disadvantages of each model. Most ofthese techniques are still new to our country's commercial banks, indicating we are behind in this field.Chapter 4 "Methodology in establishing credit risk model". After years of studies, people have developed an effective method of establishing credit risk models. The correct method is the precondition for the correct study. This chapter aims to summarize the basic principles, risk identification, risk estimation, and model effectiveness test in the model building.Chapter 5 "Application of credit risk measurement". Application area of credit risk measurement is very wide. This chapter discusses the application of credit risk measurement techniques and models in the management of the credit risk. In particular, this chapter investigates the application in asset pricing, efficiency assessment, asset allocation, credit rating, risk forecasting.Chapter 6 "China's current situation in credit risk management". The purpose of studying western countries' risk modeling and methodology is to apply it to our country's banking industry. We need to understand the current situation of China's financial risk before we can find methods to reduce it. This chapter explains that our country's financial risk has its distinctive characteristics due to the fact that our economy is in the transition period to market economy. It goes on to determine the root of the financial risk during this period, and gives an in-depth view of the current situation in financial regulation, credit risk measurement and management.Chapter 7 "Reconstruct China's commercial bank risk management system". The purpose of studying western theories is to put it in practical use...
Keywords/Search Tags:credit risk, risk measurement, risk management
PDF Full Text Request
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