A Quantitative Analysis On Credit Risk Based On The Actuarial Method

The credit risk is the major risk which commercial banks face in daily work,so how to measure credit risk is the most important problem to banks.This article benefits from predecessor's ideas and uses actuarial science principle to establish Compound Poisson loss Model.The purpose of this model is to provide theoretical basis for the loan loss reserve fund for the commercial bank.This article's framework as follows:The first part elaborates the jot secured loan's definition and significance, development course,then introduces the development process and the status quo of the loan loss reserve fund system and credit risk management research in China.The second part give a summary of related credit risk rating methods and the econometrical models,and compare each rating methods and the econometrical models,which makes the basis for the introduction of the actuarial science principles as the foundation compound Poisson model.The third part introduces related actuarial science foundation of the model firstly, and then explains computational method of related conclusion,and introduces the model construction steps in related actuarial science principle foundation.The fourth part uses jot secured loan's data,compared with the provision data which based on the Compound Poisson loss Model and the"Provision for loan loss guidelines"separately,to verify the reasonableness and reliability of the compound Poisson loss model.