Study Of Modern Commercial Bank Credit Risk Management Techniques

Credit risk has always been one of the most important risks confronted by modern commercial banks, and it has been one of the most common reasons leading to bank failure. During a long time, researches on credit risk management technology always lags behind researches on market risk management technology. Along with international banking crises occurring, international banking and academic circles have realized deeply the significance of the researches on credit risk management technology for banks. Meanwhile, Credit risk possesses new connotation, as financial market environment changes and credit derivatives develop. Therefore, it will be one of the greatest challenges in the field of finance for commercial banks to study management technologies of credit risk.In addition, due to histories and systems, technologies managing credit risk of china's banking still are rather backward. Moreover, credit risks of china's banking will be gradually revealed along with the expanding of the degrees of financial market's opening, and with the promotions of proceeding to china's interest rate marketization , and with the accelerating of financial products innovations' steps. And there will be possibly greater crisis occurred. Consequently, the dissertation is very significant not only theoretically but realistically.The object of the dissertation's studies is technologies managing credit risk for modern commercial banks. The writer concretely studied theories of credit risk, IRB systems of credit risk, metric models of credit risk, transferring technologies of credit risk, allocation technologies of economic capital, and some problems of credit risk management for china's state-owned commercial banks. Previous papers and works studying on credit risk management in china mostly focused on the areas of credit risk rating or measuring. And they were scattered, partial and theoretical. But aspect of the dissertation made helpful exploration to frame a systematic, procedural and applied research system of commercial banks credit risk from angles of technologies managing credit risk.The dissertation consists of seven chapters. In Chapter I , the writer mainly set forth some problems about this dissertation. They are significances of selected topic, summaries of literatures, the framework, research methods, creative points and following-up studying problems of this dissertation.In Chapter II, the writer analyzed the new changes and its reasons of credit riskconnotations, and approached the transition of international banking credit risk management and new characters of credit risk management. At the same time, the writer analyzed the intrinsic mechanisms of originating and controlling banks' credit risk using the theories of the information economics. Besides, the study still focused on the basic theories of technologies managing credit risk for modern commercial banks, then pointed out their some limits.In Chapter III, the writer compared and analyzed the ways to treating credit risk, and the interior rating of banks' credit risk under the framework of The New Basel Capital Accord. Meanwhile, the study focused on the basic framework and the features of international large banks' interior rating systems. Finally, the writer still analyzed and evaluated their interior rating systems taking some typical international large banks as examples.In Chapter IV, after probing into historical evolutions of bank credit risk measuring technologies, the writer emphasized their applications and the individual and portfolio credit risk managing models, and compared and analyzed the applying characters, conditions of application and demerits and merits.In Chapter V, after analyzing risk transferring functions and market development conditions of credit derivatives, the writer utilized the approach to the microeconomics of banking to demonstrated the fact that credit derivatives could validly hedged banks' credit risk. In addition, the writer deeply expounded the operational mechanisms of credit derivatives to transfer credit risk, and illustrated them with examples.In Chapter VI, the study focused on reasonable allocations of banks' economic capital and the applications of the economic capital allocation technologies to credit risk management. Among them, the writer laid special stress on approaching allocation methods of banks' economic capital, VaR technologies, RAROC and its effects. Finally, the dissertation empirically analyzed the applications of RAROC to credit risk management of banks.In Chapter VII, with analyzing the present situations of the state-owned banks' credit risk and its management, the writer devised the general process of the state-owned commercial banks' credit risk rating, and gave the guiding opinions for the state-owned commercial banks to select the models measuring credit risk. And the dissertation pointed out that the state-owned commercial banks should perfect the data basis on managing credit risk. Eventually, the writer put forward some advices to...