Research On Measurement Model And Management Of Commercial Bank's Credit Risk

For the commercial banks, it is vital to manage credit risk well. Along with the money market gradually opening, the competition among banks is fiercer and fiercer, the Chinese commercial banks urgent need raise the credit risk management level. For advancing the core competition complicity and exploiting international market, this article quite systematic research credit risk measurement technology and management way, the main conclusion as following:Analyzing several commonly used credit grading methods'good and bad points and their compatibility. Facing to the characteristic with finance data lack in our country, using the grey systems theory, we propose one kind of credit grading method based on the degree of grey incidence in view of keeping away corporations'default, and gives the example analysis.Considered the macroeconomic environment's influence to the default, proposed one kind credit risk measurement model based on the sectioned default intensity; compared systematically five kind of commonly used modern credit risk measurement model, and discusses it in our country's compatible question and the corresponding countermeasures.Based on analyzing the existing risk measure methods and the difference of risk essence, proposed one new risk measure method value-entropy, and has given the optimization model of securities investment portfolio. And conducts the empirical research using the Shanghai stock market related data, the result shows the model can deal with distributing of"the thick tail".Introduced several kinds of commonly used credit derivatives systematically, discussed the related questions about the credit derivatives market, and proposed several advices about how to establish the credit derivatives market in our country. Considering that credit risk and market risk is well correlated, gave the pricing model of credit default swap based on the COX process.From two aspects, the design of bank interior incentive mechanism and the long-term incentive to the manager, discuss how to strengthen the commercial bank's credit risk management; several advices are given about completing the commercial bank's credit risk management; the European credit incentive option is designed, and...