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The Study On Commercial Bank Credit Risk Measurement And Management

Posted on:2004-12-22Degree:MasterType:Thesis
Country:ChinaCandidate:Z P LiangFull Text:PDF
GTID:2156360092480983Subject:Industrial Economics
Abstract/Summary:PDF Full Text Request
This dissertation analyses the models and methods of credit risk measurement and management on commercial banks, and analyses China's commercial banks from research of credit risk measurement and management, at the same time enhance the ability and consciousness of preventing and digesting credit risk of enterprises and banks, and raises the level of China commercial bank' credit risk measurement and management, and promotes the healthy development of China's socialist market economy.Firstly, this dissertation expounds the basic definition of modern credit risk and the causes of leading credit risk based above contents, and analyses the economic consequence of credit risk in detail, including the impact of credit risk on macroeconomics and microeconomics.Secondly, this dissertation introduces the operation principles of KMV and CreditMetrics models, and emphatically probes into how the models to measure credit risk of assets portfolio, and analyses the applications in credit asset pricing, the investment decision based on VaR and the supervision by using internal credit risk measurement models, and advances CreditMetrics model based on conditions of China's commercial banks, and studies fundamental conditions, limited conditions, and how to use Moutun's pricing model testing results of CreditMetrics model.Thirdly, being aimed at credit risk management on present situation of China's commercial banks, this dissertation studies awarding credit on theories, and advances using the models and methods of credit risk measurement and management to construct alerting risk system and inter grading system in banks.Lastly, this dissertation probes into several enlightenments from developing of China's bank industrial, and advances in the process of improving China's socialist market economy system how to build defense and administration system of Chinese characteristics, and comprehensively enhances the level of China's commercial banks measurement and management for credit risk, and strengthens financial supervision, and so on.
Keywords/Search Tags:Credit Risk, Commercial Bank, Risk Measurement and, Management, CreditMetrics, Model
PDF Full Text Request
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