A Comparative Research Between Creditmetrics And Creditrisk+ In The Measurement Of Credit Risk

In recent years Credit Risk Model is widely used within international banking groups, which plays a very important role in measuring credit risk of assets of commercial banks. It's of great importance both in theory and practice to study on advanced theoretical methods of credit risk models and apply them to the credit risk management of commercial banks in China, so as to enhance the management of credit risk, lower the ratio of bad assets, effectively keep away and resolve the financial risks of commercial banks in China. Two Credit Risk Model, namely Creditmetiics and Credirisk+, are paid systemic and in-depth research here in this thesis.Firstly, a brief introduction is made on other popular credit risk models. Then comes a retrospect of VaR , the underlying theory of Creditmetrics and Credirisk+.In the principal part of the thesis, the theoretical framework, methods and processes, as well as application of Creditmetrics and Credirisk+ are expounded in details. Then analysis is made on the reason, features and status quo of credit risk in commercial banks. The feasibility of the above mentioned models are demonstrated and its potential application is conceived. The thesis is concluded with a case study on the common features of the two models and their feasibility.Taking into account the characteristics of credit risk of commercial banks in China and the national conditions of our country, I have a systematical research on the application of Creditmetiics and Credirisk+ in banks in China in this thesis, aiming at improving the credit risk management of commercial banks in China as well as sound and orderly development of the overall financial system.