Study Of Management Of Credit Risk Portfolio Under New Capital Agreement

Study of management of credit risk portfolio undernew capital agreementCredit risk is the oldest and most fundamental risk of banks, but for a long time credit risk remains classical credit stage, which caused unthinkable result .In the past several decades, especially the outbreak of Asian finance risk made all countries realize the serious problem. The reason of bankrupt of some banks, seemingly mobile crisis, is that lots of loan can't be regained in essence.The management of credit risk of commercial bank have experienced four stages:distinction between good and bad loan→Development of credit rating→development and application of mode of risk pricing → application ofportfolio theory in loan account. Credit rating i.e., IRB, is the base of portfolio management. Because of limit scope it only analyze the company business in this thesis. For bank the credit risk management have two aspects. One is to manage the default of single borrowers and the other is to manage risk of the whole bank, which takes lots of loan as one portfolio.Nowadays many portfolios are based on MPT, but applying MPT to it creates many problems. After review of current credit risk models the EDF portfolio of KMV Company is exemplified, furthermore it puts forward better advice and discusses how to enhance the accuracy.Name:CaiHua (Finance) Directed by-PiaoMing-Gen...