Investigation On Credit Risk Management Model In Commercial Bank

Since the 20 century 90th,along with the trend of global economy integration, A business environment is formed in the world area, more and more organizations are charged with more complicated credit risk, less and less profits investors gained in the interest and cash market, So they are turning to the credit financial products and services. There are two ways contains, One is the traditional credit transaction, such as business loan, bond and letter of credit operation, and the other is the correlated of credit derivative securities, option, credit swaps and long-dated agreements and so on. After the 90 years, Credit transaction is increased with the financial derivative market becoming more active. More rigorous challenge has been presented to the risk management compared with the traditional transaction. Credit risk measurement, control and management are more important not only in the traditional commercial bank, but also in the various marketing transaction variety. So it becomes an emphasis in the learning and application field. Maybe the credit risk is the one of most important challenge to the risk management in 21 century.Instead of the past static credit risk measurement and management, we can use dynamic measurement ways to control and manage the credit risk at real time from new point of view. Causes are financial products becoming face to market, market fluctuates effecting financial transaction greatly and new derivative securities coming forth. At present, the scattered research is only limited on the credit risk discriminating and measurement in the internal commercial bank, the research on the system info and model is not deeply and systemically, qualitative analysis and scale analysis are adopted prevalently. Adapt to the credit risk management, setting up the system of credit risk management is only start too.This dissertation explored the credit risk quantitative models and related management questions. Main contents consist of the following two parts. 1) First it brings out the credit risk optimized management model in commercial bank. This mode] study the default probability related with enterprise existing analysis, on the restriction of VAR, the optimized model is set up to forecasting and controlling commercial bank credit. 2) Two most important and primary risk measured way of VAR have been introduced: KMV model and CreditMetics model. It will be helpful for commercial bank risk management system development.