Study On Commercial Bank's Loan Rating And It's Economic Capital Allocation

Credit risk is the main and basic risk the commercial banks face, and a series of credit risk management based on credit rating has been the subject that financial industry and educational circles have paid close attention to all the time too. Since the 1990s of last century, with the economy globalization , the push of evolution and development of the credit risk management theory , method, skill and means, which were born in the complicated and serious challenges based on meeting credit risk, prompts the enhance of the commercial banks' credit risk management level. From the Basle I in 1988, to the development and extensive application of the credit rating and credit risk measurement model, such as Zeta-value, KMV, CrediRisk, to the Basle II in 2001, the credit risk managements, such as the commercial bank' credit rating and credit risk measurement, are transferring from traditional and rough qualitative management to quantitative management based on model and maths, which heightens the efficiency and effect of credit risk management fully. As mentioned these, this paper uses the foreign fruits of study and application for reference, and combines with the characteristics of commercial banks in our country, and try to introduce model and quantitative management method to the credit risk management of commercial bank in our country.The paper identifies and measures our companies' credit risk using the financial distress pre-warning discrimination model (Z-value model based on listed companies, firstly, we test the availability of Z-value model in credit rating by using outer credit rating, based on which, we measure the credit rating of our listed companies and construct the companies' credit rating transition matrices, and find the characteristics and risk recognition and measurement parameters in credit risk that our companies showing as debtor. Then, based on the company credit risk rating and considering the loan' characteristics, this paper adjusts the company's credit risk rating by qualitative method and find the loan's credit risk rating, and find some find the characteristics and parameters of the loan's credit risk. At last, this paper measures the loan' credit risk and allocates the economic capital by using the debtor's and loan's risk recognition and measurement parameters.