Study On Management Of Credit Risk Of Chinese Commercial Bank Under New Basel Agrement

On the basis of New Basel Capital Agreement being put into practice, the resource, particularity, measurement and management of credit risk are researched on the views of macro and micro perspectives and new frame to avoid credit risk of Chinese commercial banks is raised. The paper includes five parts, and as follows.First, the weaknesses and shortcomings of old Basel Agreement are analyzed and innovations of New Basel Agreement and Challenges to all the banks of different countries are addressed in the paper. From the actual conditions of China's commercial banks, the difference between status of Chinese commercial banks risk management and Basel Agreement is disclosed and the challenges that Chinese commercial banks have to face in the new condition are proposed.Second, using of financial economics theory, the common reasons of commercial banks credit risk are detected deeply from contract theory and asymmetric information theory. The theoretical models show that the pre-selecting and post-incentive behaviors all can effect the expected return function of commercial banks because of incomplete contract and at the same time the asymmetrical information can directly lead to commercial banks'credit risk.Third, on the basis of commodity of commercial banks credit risk, the paper analyzes the particularity in the environment of transactional and market economics. We believed that during transactional economics a lot of particularly credit risk because of macroeconomics is accumulated and the bank credit risk formation mechanism is decided by shortcomings of corporate governance and particularly relationship between banks and enterprises on the micro-perspective views. The resources of particularity of Chinese banks credit risk origins from the combined impact results of macro and microeconomics.Fourth, the paper indicates that insurmountable drawbacks of traditional models of risk measurement and the application, the hypothesis and risk measurement process of Credit Metrics model, KMV model, Credit Risk+ model and CPV model are...