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A Quantitative Study On Credit Risk Of Chinese Commercial Bank

Posted on:2004-04-11Degree:MasterType:Thesis
Country:ChinaCandidate:X ZhouFull Text:PDF
Abstract/Summary:PDF Full Text Request
Credit risk is a major risk in Chinese financial market at present, and how to raise the level of credit risk management is an important task our banks are facing. In credit risk management, quantitative study is very week, so this paper tries to do research on credit risk from the point of quantitative analyses.Firstly, credit risk is summarized, and some credit risk measurement models, which are popular in foreign banks, are introduced and evaluated. At the same time, the applicability of these models employed in China is analyzed objectively.Then, according to the actualities of domestic quantitative research on credit risk, the ratio of non-performing loan, which is used to evaluate the quality of commercial bank's loan portfolio, is firstly related with the probability of default, which is one of core conceptions in most credit risk measurement models. Then this paper proposes that the prediction of the ratio of non-performing loan be substituted for the evaluation of the probability of default. In this paper, the path of non-performing loan ratio changing in one year is simulated by Monte Carlo simulation approach, then the criterion of choosing optimum path is expounded in theory.Finally, the whole paper is summed up and some suggestions are presented to improve the demonstration.
Keywords/Search Tags:Commercial Bank, Credit Risk, Quantitative Measurement, Ratio of Non-performing Loan, VaR
PDF Full Text Request
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