Basel Ii Perspective Of Commercial Bank Credit Risk Management

This dissertation is a new Basel agreement-oriented study on credit risk management of commercial banks. Credit risk management is the core of modern commercial bank operation. The level of credit risk management may decide the fate of a bank. The new Basel agreement represents the development direction of modern banking credit management. So a study on China banking credit risk management and the new Basel agreement is useful to shorten the gap between China banks and international developed banks. So this study is of theoretical and practical importance.The innovative points of this dissertation are as follows: Firstly, on the base of study on the framework and principles of the new Basel agreement, using the IRB principle of the agreement, suggests a "Pyramid road map" of how to implement IRB for China state-owned banks, corporate banks, city commercial banks and rural credit cooperative institutions, this suggestion is very useful for the credit management of China banks.Secondly, through the study of credit management theories, credit risk management theories and information economics theories, using the information economics theories, analyzes the game between borrowers and banks, suggesting the choice of regulatory institution, the choice of borrowers and the choice of banks. The dissertation also includes a game theory oriented study on the credit risk control of group-corporation.Thirdly, through the study of the principles of the new agreement and credit risk management theories, on the base of China practice and international banking developed experience, design a all-rounded risk management framework, including the front office, the middle office and the back office, which is very positive for China banks to improve their risk management structure.Fourthly, on the study of the influences of the new agreement on the credit risk management of China banks, makes suggestions on how to improve the level of credit risk management, and how to build a credit culture that represents the principle of the new Basel agreement.Fifthly, wholly explaining the credit risk measuring methods and credit risk pricing models, studies the credit pricing of China commercial banks. This is of great importance for banks to improve their credit pricing methods.This dissertation consists of 8 chapters, which can be divided into 4 parts:Part one includes chapter 1, it is mainly about the choice of the topic, the introduction of research works and the innovative points of the dissertation.Part two is mainly about credit risk management theories, credit risk measuring and credit risk pricing, includes chapter 2 and 3.Chapter 2 is mainly about credit risk and credit risk theories. On the base of introduction of credit risk and credit theories, using the information economics theories, analyzes the game between borrowers and banks, suggesting the choice of regulatory institution, the choice of borrowers and the choice of banks, and suggests the solution of the problem of information asymmetry of credit market is to reduce information asymmetry, this is one of the innovation points of this dissertation.Chapter 3 is mainly about credit risk measuring and pricing, discusses and compares the credit risk measuring methods, models, such as CreditMetrics, KMV models, Credit Risk+ and Portfolio View models, Longstaff and Schwartz model and Wei&Guo model, then gives suggestions on how China commercial banks should price credit risk.Part three is mainly about the history of the Basel agreement, thecontents of the new agreement, the standard approach and Internal rating approach, this part is the main part of the dissertation, including chapter 4, 5 and 6.Chapter 4 is about Basel Agreement and its influences. Starting from the history of Basel Agreement, compares the old with the new agreement, talks about the influences of the new agreement, then studies the implementation of Basel II in different countries and districts.Chapter 5 is a study on the standard approach of the new agreement, analyzes the logics of the new agreement, risk credit risk mitigation and currency mismatch, and gives examples of the use of the standard approach.Chapter 6 is a study on the Internal rating approach of the new agreement, on the base of international comparison of IRB implementation, gives suggestions on how China banks should implement the IRB, then use the IRB principles of the agreement, suggests a "Pyramid road map" of how to implement IRB for China state-owned banks, corporate banks, city commercial banks and rural credit cooperative institutions, this suggestion is very useful for the credit management of China banks.Part four includes chapter 7 and 8. In this part, on the base of the study of the part 2 and part 3 about credit risk management theories, credit risk measurement and pricing, principles of the new agreement, analyzes China commercial bank risk management, gives suggestions on how to improve credit risk management of China banks.Chapter 7 is mainly about credit risk management of China banks. Analyzes the condition of credit management of China commercial banks, the influences of the reformation of state-owned banks on the credit risk management of the banks. Then analyzes opportunities and challenges brought by the new agreement, makes suggestions on how to implement Basel, and how to build advanced credit management culture.Chapter 8 uses the principles of the new agreement and theories ofcredit risk management, introduces the theory of all-around risk management. Then following the principles of Basel agreement and on the base of study on credit theories, designs the framework of all-around risk management for China banks, including the front office, the middle office and the back office, which is very useful for China banks to improve their credit risk management. Lastly, using the information economics theory, makes a game theory oriented study on the credit risk control of group-corporation.