Credit Risk Analysis And Management Research Of Commercial Bank

Following the clue of Theoretic Research-Quantitative Research-Manegement Suggestion, system science, economics and management science are adopted in the research of commercial bank credit risk in the paper. Listed under are the aspects of research result.First, Credit business itself is a system, an open, complex system from the systematic aspect. Credit business system and credit business mechanism together make up of credit business architecture. Credit business participators exchanges matters, energy and information with the credit business circumstances, credit assets and credit asset portfolio. Credit business mechanisms are consist of authorization-agent between different participators. Credit risk comes into being in credit business system and transfers along the credit business mechanism.Secondly, microscopic risk structures are constructed. The basic three points of credit risk, which are loan-using, customer credit, loan guarantee, make up of different microscopic risk structures by different combinations. And microscopic risk structures can be changed with time going by. On foundation of elements analysis of the three points of credit risk, customer credit is emphasized in this paper. By the theory of rough set and BP-neural network, customer credit is evalulized. what's more, on the basis of analysis of the three basic points, AHP is adopted in order to realize how to rationally distribute management sources of commercial bank, and microscopic management suggestions are furthered.Thirdly, credit asset portfolio structure is constructed by analyzing how it comes into being. Considering realistic status, portfolio risk model is constructed with constraints of credit scale, industry credit scale and regional credit scale by the guide of modern capital portfolio theory. And a supposed case is furthed.Fourth, active management strategies are proposed at the end of the paper. Some derivative instruments, such as loan sales, loan securization and some credit derivative tools, can be used to adjust structure of credit risk actively. Bank group loan mechanism and credit risk insurance mechanism are put forward, which can realize risk transferring and contrain the process of decision-making.