Studies On The Measurement And Management Of Credit Risk Of Chinese Commercial Banks

The global financial crisis incurred by the American subprime crisis hurted seriously the economy of the whole world in 2007.There are a lot of reasons that can explain the financial crisis,but The main reason is the out of the control on the credit risk.In November 2008, our government imply relaxed Monetary policy to prevent from crisis. Along with the extending of the speed and intensity of the loan scale,the default risk has been growing concern.Our government,banks,bankers and the public have realized deeply the significance of the researches on credit risk management of banks,specially the accurate measurement,the effective control on the credit risk.On September 12th 2010,international banking regulatory institutions put forward a new regulation-The Basel Capital Accordâ…¢.The new accord gave a more sufficient supervision standards on capital and liquidity,incorporating the greatest emphasis on the control of the risk.we are one of the Basel countries,we will imply the new standards of The Basel Capital Accordâ…¢in 2017. The new accord not only give alarm but also put farword a higher requirement to our level of banking risk management.It is very urgent to study the reformation rules,analyze the influences and give some good suggestions brought by the new Basel agreement.Credit risk is always one of the most important risks of commercial banks.It is very important,necessary and urgent to strengthen credit risk management for retaining chinese economy healthy and stable under the complex situations of the whole globe.Only our banks obtain the experiences and lessons from the international financial crisis,consider the actual conditions of our owe country to research the credit risk measure technology and management method that we can introduce some forward-looking provisions on credit risk measurement and management.This study is of theoretical and practical importance.This dissertation is a systematical study on how to strengthen the credit risk measurement and management of commercial banks.lt is oriented by the new supervision standards of international banks-The Basel Capital Accordâ…¢, based on analysing the real situation,problems on credit risk and the credit risk management of Chinese commercial banks,it proposed some farsightedness suggestions on policy of credit risk management of our owe commercial banks in post-crisis era.The chief content of the paper follows:1. Study on Basel Capital Accord and credit risk management present situations of our commercial banksStarting systematically from the requirement and the influences on credit risk management of The Basel Capital Accord, Analysing the important influences of The Basel Capital Accord on Chinese banks. Summarizing the great achievements of our owe banks in nearly last three decades, On the basis of analysing the present domestic situations of credit risk and credit risk management,we devised the problems on credit risk measurement and management.We get the conclusion that:It is very important,necessary and urgent to strengthen credit risk management. On one hand we should adapt to the implement of the Basel II,on the other hand, we should accelerate the strategic transformation of domestic commercial banks based on the new supervision standards of the Baselâ…¢and give some farsightedness development strategies in current stage.2. Study on the credit risk measurement methods of commercial banksWe set up a systematic credit risk measurement framework of commercial banks that from Credit risk measurement of individual clien,Credit risk measurement of portfolio loan. Economic capital measurement to RAROC measurement. Based on the in-depth analysis of quite a few parameters including the probability of default, exposure at default, loss given default, default correlation of portfolio, risk adjusted return on capital,We find a feasible method to measure credit risk of banks that it can be a entire system of the credit risk measurement and management.3. Research on the Principle component Logistic regression model to evaluate the probability of loan default of commercial banksAccording to the standards of whether the company is Special treated or not,We choiced 104 listed companies of china, improved the selection method of the financial indexes,established a Principle component logistic regression model.We conclude that the improved selection method can enhance the stability of the model.The model is based on some financial indexes,so it can be used to measure the probability of the default of the unlisted company loan of commercial banks. 4. Research on the KMV model to evaluate the probability of loan default of commercial banksWe choiced 16 listed companies of china, Firstly,we use the GARCH(1,1) model to estimate the volatility of equity value,Then we analyse the credit level of the listed companies from five trades, At last,we investigate the change tendency of listed companies accord with the tendency of the macroeconomics.It obtains the conclusions that:The KMV model can not only identify the difference of credit risk between ST companies and normal companies from different trade well, the rank of the credit level from the first to the last is the electronics industry, energy sources, constructive trade., manufacture and agriculture companies, at the same time,we find that the credit change tendency of listed companies accord with the tendency of the macroeconomics.It obtains the other conclusions that:Using the GARCH(1,1) model to estimate the volatility of equity value can enhance the forecasting accuration of the KMV model.The KMV model can be used in the practical measurement of the bank credit risk,and it's a valid model.The model is based on some stock market datas,so it can be used to measure the probability of the default of the unlisted company loan of commercial banks.5. Research on the creditrisk+ model to evaluate the credit risk of the loan portfolio of commercial banksFirst, we point out the defect of the bands division method in abroad,Then,we use an innovative way to devise the bands and propose an operational way -the results of the part of the KMV model to determine the clients'PD,At last,we calculate the unexpected losses by using 224 practical clients'loan portfolio datas of Dalian commercial banks.We obtain the conclusion:The model is efficiant and it can enhance the utilizilty of the capital. That the innovative way to devise the bands and the operational way -the results of the part of the KMV model to determine the clients'probability of default make the modle simple, operational,and using less datas.This method will have a wide application areas on the measurement of the portfolio loan credit risk6. Research on credit risk management of commercial banksGeneralizing the application fields and main returns of the results of the credit risk measurement on individual client,portfolio loan and the whole bank.Expounding that how utilize the measurement results to imply the Decision-making of the loans management, loans portfolio optimization management,capital management of the credit risk and the dissolve management of the credit risk.Analyzing that how we can put these results into every link of the whole measurement process.