Distinguish Measure Credit Risk Of Commercial Bank And Optimize Loan Portfolio

The modern market economy is credit economy,and credit is the basic of the run of the economic system. Commercial banks are special enterprises who operate the credits and money. One key factor which affect the economy is the bank credit system. So economic risks are mainly displayed through the commercial bank credit risk. Credit risk is one of the most important risks with which commercial banks have been confronted in our country. It affects not only the management of commercial banks directly but also the development of economy and the stabilization of society. The traditional methods of enterprise credit evaluation are decided by using synthesize score method. The shortcomings of this method are lack of comparability with the other enterprises in the same field, and difficulty in power weight determining. 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. So it is crucial for Chinese banks to raise the level of credit risk management.This paper use general risk management theory for reference to study the management of commercial bank credit risk. Aiming at the lack of comparability with the other enterprises in the same field, integrating correlative actuality and development, wielding Set Part Analysis and Catastrophe Theory, the enterprises are evaluated. After the cases analysis on the TSM industry enterprises in Chongqing, the result is satisfactory from the bank side. 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, and from the reality of our country, this paper design feasible method to measure the loan risk degree. The credit risk of Chinese banks is evaluated through unexpected credit loss.The main study of this paper are as follow:1. Put forward the method of enterprise credit evaluation based on Set Part Theory. The method makes a new way for enterprise credit evaluation. This method is quick, simple and applied.2 Bring forward the method of enterprise credit evaluation based on Catastrophe Theory. This method reduces the subjectivity correspondingly and makes the evaluation actual due to not touching upon power weight.3. Advance the method of measurement credit of single loan. The method computes the unexpected loss through introducing credit degree and utilizing the history datum of loans.4. Bring forward the method of measurement credit of loans' portfolio. This method helps commercial bank to fix loan, save loan reserve and optimize loans' portfolio rationally.The main innovation of this paper is as follow:1.Introduce the Set Part Theory and Catastrophe Theory to enterprise credit evaluation. Put forward two new method of enterprise credit evaluation.2. Bring forward the method of credit risk measurement through introducing enterprise credit degree, enterprise trade, loan term and loan manner to loan risk degree for the first time.