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The Application Research On Modern Credit Risk Model In China's Banks

Posted on:2004-09-20Degree:MasterType:Thesis
Country:ChinaCandidate:Y X ZhaoFull Text:PDF
GTID:2156360125955144Subject:Management Science and Engineering
Abstract/Summary:PDF Full Text Request
Currently, credit risk is one of important risk confronted by China Commercial banks. Because of tremendous non-performance asset of bank and competition from foreign banks after entering WTO, improving credit risk management technology becomes an important question for discussion faced by Chinese bank industry. In developed countries, because of establishment of the New Basel Capital Accord and fast development of derivatives exchange, credit risk management went on a revolution and come forth many representative credit risk measure models. It is necessary to improve credit risk management level of China through introducing foreign advanced credit risk management technology.This paper consists of three parts. First part is introduction, which analyzes inevitability of improving credit risk management level of China. Then author summarizes research status of credit risk management.The second part is credit risk management theory and measurement models. Author summarizes theory basis of modern and discusses default correlation. Based on credit risk modeling theory, this paper research main credit risk measurement models such as KMV model, CreditMetrics, Creditrisk+ and Credit Portfolio View from model assumption, theory calculation and application conditions. Then author analyzes credit risk models comparatively from model input and output.The third part is practice of China credit risk management and model application. This part summarizes current appraising methods of China bank credit risk management and discusses their defaults. Combined with China reality, the paper discusses financial market conditions of credit risk models application and model variable ascertain. Then author analyzes feasibility and applicability of modern credit risk measurement model application in China banks. At the last, the paper discusses localization of model application.
Keywords/Search Tags:credit risk management, credit risk measurement model, pricing default security, default probability
PDF Full Text Request
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