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The Measurement And Management Of Credit Risk In Commercial Bank

Posted on:2006-10-22Degree:MasterType:Thesis
Country:ChinaCandidate:S W HuFull Text:PDF
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In past twenty years, the comprehensive risk management has replaced the asset and liability management to become the center of bank risk management, the main contents of which are risk measurement and risk optimization. The ex-president of CSFB ever said the words--- " We never accept the risk that is not measured." that really points out the importance of risk measurement in risk management. Credit risk is one of the major risks faced by China's commercial bank. But the qualitative analysis is the main method in our credit risk management. So doing some research on the advanced measure technology is important to improve our risk management.At first, the article gives the new definition of credit risk and points out the traditional and static definition has could not embody the essence of the advanced credit risk. Then, based on the new definition, introduces the main risk measurement technology—VaR ( value at risk ) and the CreditMetrics Model based on the framework of VaR. The paper studies the advanced risk management models and points out the superiority of the CreditMetrics Model, with the methods of qualitative analysis, quantitative analysis, individual analysis, united analysis and compare analysis. Based on our bank, the article revises the CreditMetrics Model and uses it to measure the credit risk of the loan of china bank. How to develop our credit risk management, the paper gives some advances.The whole paper is divided into seven chapters. Chapter one is exordium. Chapter two is about credit risk. The content includes the definition, feature, factor and the cause of developing measure technology. Chapter three discusses the advanced risk management models. Chapter four is about how to revise and apply the CreditMetrics Model in our country. Chapter five does some research on the credit risk of china bank. The level of credit risk in our...
Keywords/Search Tags:credit risk, VaR, risk management model, risk measurement, credit rating
PDF Full Text Request
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