Study On Measurement And Management Of Chinese Comercial Bank Credit Risk

Credit risk is the most important risk what modern commercial banks are facing, andalso one of the most common causes which lead to bank failures. Compared with foreignlarge commercial banks, Chinese commercial banks still have quite a number of deficienciesin credit risk management. How to enhance the level of Chinese commercial banks’ credit riskmanagement has become the issues of common concern among the academia and bankingindustry.Through learning the advanced credit risk management techniques and measurementmodels, the thesis will be helpful to develop credit risk measurement and managementtechnology which is suitable for Chinese commercial bank according with the actual situationin our country to narrow the gap between the advanced banks and Chinese commercial banks,and improve international competitiveness of our commercial banks. We proposed to enhanceour overall credit risk management of commercial banks from two dimensions of technologiesand tools. Based on the theory of risk management and used a lot of method, around a numberof propositions such as "what is credit risk management?","how to measure credit risk ofdifferent enterprises or individuals?","How to make early warning?","How to solveproblems?"，the thesis has constructed the commercial bank credit risk management systemand studied on credit risk measurement method.The thesis analyzed the condition of Chinese banking credit risk at first, and pointed outthat Chinese commercial banks asset quality and capital adequacy have been greatly improvedin the past few years, but still have some problems.According to our current policy andeconomic development trends, there is a possibility of that Chinese commercial banks’ creditrisks outbreak in the next few years. Therefore, Chinese commercial banks must strengthentheir credit risk management. Then the thesis analyzed the causes of credit risk, pointed outthe main problems of the credit risk management of Chinese commercial bank, in order to behelpful to effectively improve Chinese commercial bank credit risk management. The thesispropose credit risk management system, and do some research around three elements such ascredit risk recognition, measurement and early warning, and analyzed credit risk formationmechanism and transmission mechanisms.The thesis analyzed the basic structure and theoretical basis of multiple discriminantanalysis, Logit regression analysis, Probit model, SVM model, structural model, the intensity model, Portfolio Manager, Credit Metrics, Credit Portfolio View and Credit Risk+modelmortality models. Through comparative, we had the basic ideas of Commercial Credit RiskMeasurement Model: applying the KMV model to the credit risk measurement of large listedcompanies; applying the multiple discriminant analysis to the credit risk measurement of thesmall and medium enterprises (SME); applying the Logitech regression analysis to the creditrisk measurement of individual retail customer. So we can construct a relatively completesystem of quantitative credit risk for providing the theoretical basis for the IRBimplementation of Chinese commercial banks.Then, the thesis analyzed the credit risk model of large listed companies, and revisedsome parameters such as the equity value of KMV model, equity value volatility, defaulttrigger point, debt maturity, and no risk-free rate according to Chinese actual situation. Wecalculated the parameters of the revised KMV model through selecting the Shanghai StockExchange’s10ST companies and20non-ST companies250days of continuous data, andobtained the DD and the theoretical EDF. Finally, we divided the credit rating system of largelisted companies into10levels by the reference to Standard&Poor’s and Moody’s ratingsystem. And we defined the division of the corresponding expected default probability, thecredit rating system of large listed companies and passed the K-S test.The thesis accorded to the famous Z-score model and actual situation of Chinese SMEs,introduced the non-financial factors and industry risk factors, and then established theS-Z-Score model, and compared the accuracy between the Z" model and the S-Z-Score by thesamples of70SMEs of the retail, industrial, transportation and postal industry, construction,hotels and catering services. The results show that the first class error of S-Z-Score model,which taking into account non-financial risk factors and industry factors, is significantlyreduced. That reflected greatly the SZ-Score model has the superiority of credit risk determinefor SMEs.To the study of individual credit risk, the thesis determined the two dimensions ofpersonal credit score index system at first, namely, the index system of individual repaymentability and the index system of individual payments will. And then we constructed thecomposite model of personal credit scoring combining with the personal credit scoringmethods and mathematical statistics, to divide the region of customer credit and pricing andachieve the unity of risks and benefits. Building early warning model from technical and signal, and designing credit riskmonitoring process. Finally, the thesis put forward countermeasures to the causes of Chinesecommercial banks’ credit risk and the problem of credit risk management.