Study On The Discrimination And Evaluation Of The Credit Risk Of Our Country's Commercial Banks

The credit risk refers to the probability of loss resulting from the default of borrowers or market trading counterparts, including the probability of loss caused by the change of debt market value due to the variation of the credit rating or fulfilling contract capability of borrowers. The credit risk is the major risk commercial banks face and is also the crux of all the problems the banking industry is confronted with in our country. This dissertation chooses the measurement management of the credit risk of our country's commercial banks as research project. Through this research, it tries to make a comparatively systematic theoretical analysis and empirical study of the credit risk problems of commercial banks on the basis of using the domestic and foreign existing research achievements for reference, for the purpose of doing some effective works for the development and application of the credit risk management techniques of our country's commercial banks.Starting from the concept, characteristic, emerging reason and basic theory of credit risk, this dissertation introduces the basic contents of new Basel capital agreement and the core contents of internal rating method, and further discusses the feasibility and necessity of carrying out the internal rating method in our country, and expounds the model and method of credit risk measurement in detail. Based on the above-mentioned research, it establishes, in combination of our country's practices, linear discrimination model and logistic regression model respectively by using the listed companies in our country as samples, and compares the discrimination accuracy between these two models. At last, it probes into the suitability of the KMV Model---the internal risk measurement model---in our country, and explains, through empirical analysis, that as a kind of credit risk measurement model, the KMV Model may be applied and disseminated in our country.The originalities of this dissertation are displayed as follows:It overally summarizes the measurement method and model of two important parameters of internal rating method--- default probability and default loss ratio. Moreover, it puts forward constructive suggestions on developing the research on default probability and default loss ratio in our country.It comprehensively sums up the R & D and application of credit risk...