Credit Risk Management Of Our Commercial Bank Based On The Model Of CreditMetrics

Our commercial banks, especially the state-owned banks, have so lowly qualitative credit assets and highly bad loan ratio that credit risk becomes the biggest financial risk of our country. After entering WTO, with the process of globalization and integration of finance, the banking of our country will suffer the more rigorous challenge. It is an important research subject of the financial circle in our country how to improve the risk management level of our banks.First of all, this thesis makes a micro-angled analysis of th e credit relation between banks and enterprises. Based on the analysis of the state quo of credit in China's enterprises and the reason which caused the bad credit, it points out that the credit risk of the bank is decided by the reputation condition of loaned enterprise. And making use of fuzzy mathematics method, it takes into consideration the quality index of the enterprise executive character, the financial index and the index of developing prospect of the enterprise. On the basis of qualitative analysis, it carries on multi-level synthetic judgment of mathematics model and ration, and decides the reputation grade of the enterprise; then the rate of Class conversion of enterprise reputation has been emphatically discussed in the text. Reputation grade of the enterprise and the shifting probability of reputation grade constitute the important input of the model of CreditMetrics. The study on them has established the foundation for managing the credit risks and CreditMetrics1 model.Secondly, this thesis introduces the basic thought, theoretical foundation and calculation methods of CreditMetrics model, including the calculation of the risk state of single loan asset, that of two kinds of loan assets and that of multiple loan assets.Finally, this thesis probes into the application of the model in management of credit risk in the business banks of China.