Research On Credit Rating Index System Of Civil Commercial Banks

The main risk that commoercial banks face is credit risk,of which the typical characteristic " small probability, big influence" cause the credit risk management a tough task,but stimulate the credit risk management technics to develope continuously:Credit risk management became more quantifiable;The Credit Derivatives sprout; Credit risk management adopts portfolio method ; Credit risk management turns from the static state to the dynamic state etc.Cedit rating, which is a quatitative method to define the debt-repaying ability , debt-repaying will and probability of default (PD) with a series of special chractors, plays quite an important role in important credit risks management.The development of credit risk management puts forward a higher realistic request for credit rating research, which is concentrately reflected in 《New Basel Capital Agreement》 ,now the international banking business supervisory displine, with Internal Ratings-Based Approach (IRB) acting as its core content.Through comparing the existent credit rating system between international and civil commercial banks,this dissertation presents several salient problems underling our civil commercial banks and their respective causes,pointing out that our emphasis of credit rating reseach should be put on the Primary IRB at the present stage, ie: Establishing an scientific credit rating index system, in order to effectively increase the credit risk management level of our commercial banks.This dissertation does some positive probes and innovations on the establishment and development of customer credit rating index system for civil commercial banks. Analytic Hierarchy Process (AHP) is adopted for quantitative indexs collection, including 9 basic indexes, 11 corrective indexes, as well as 6 assistant indexes involving cash flux, and also some qualitative indexes,and the rating results is made out by means of efficiency modulus and complex analysis&judgement. What's more, the credit rating transfer matrix analysis and other related integrational measures are suggested in an attempt to make the credit rating index system better continuously. What's more.DM Ltd. was made an objectibe appraisal , from the credit rating background to its' rating process and result ;And credit rating transfer matrix was analynized with a sample consist of 2310 customers in a civil commercial bank, aiming at demonstrating the effectivity and practicity of credit rating index system designed.In the end the paper sums up both of its strong points and defects,and indicates that it could do some help to gradually perfect customer credit rating index system of civil commercial banks.