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The Research Of Bank Loan's Credit Risk Based On CreditRisk~+ Model

Posted on:2006-06-10Degree:MasterType:Thesis
Country:ChinaCandidate:D H ChenFull Text:PDF
GTID:2166360155461912Subject:Management Science and Engineering
Abstract/Summary:PDF Full Text Request
Credit risk is one of the most important risks which banks are confronted with. The ability to control and manage the risk is related with the stability of the bank system and the development of the economic growth. With the development of econometrics and computer technology, credit risk managements are changing from traditional qualitative analysis to quantitative analysis and many major financial organizations introduced various credit risk management models in order to improve the ability of controlling and forecasting to credit risk, In China, commercial banks are still using the traditional ways, and using the modern models to analyze credit risk is just beginning. In this paper, CreditRisk+ will be used to analyze the credit risk of one bank's loans.In first, this paper reviews the development of credit risk management, especially compares the four major credit risk models. It combines with the conditions in Chinese commercial banks to show the advantage that using CreditRisk+ to manage the credit risk. Then according to the CreditRisk+ framework, this paper calculates the loss distribution of loan portfolio and educes the risk contribution and pairwise correlation. In the last, CreditRisk+ is used to analyze the credit risk of one branch of one state-owned bank.The result shows that the sample bank's credit risk management is improving, but still on a high level. When using sector analysis to analyze industry loans and commercial loans separately, it shows the commercial loans are riskier than the industry loan and it is the reason why the portfolio's risk increased so sharp.
Keywords/Search Tags:credit risk management model, CreditRisk+ model, commercial bank's loan, risk controlling
PDF Full Text Request
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