The Research On The Credit Risk Quantitative Management Models Of Commercial Banks And Their Application In China

As one of the main risks in financial market, the measurement and management of credit risk is the essential problem facing all the commercial banks. After China's entry into WTO, the improvement of competence and credit risk management ability has become more important for China's banks. Compared with developed countries, the exterior circumstance, interior controlling system, data system, technique and methods have many defaults and deficiencies. This paper discusses the contents and characters of modern credit risk management systems in detail, analyzes the feasibility of applying these systems and models in China. With the research based on the real situations of China's banks, this paper bring forward some suggestions and ways for credit risk quantitative management of China's commercial banks.After the comparative analysis of modern credit risk quantitative management models and the current situations of China's banks, this paper draws some conclusions:(1) China's commercial banks lack efficient interior credit rating system and credit risk management system, the modern credit risk quantitative management system and methods should be researched and adopted.(2) China lacks the database of credit risk measurement and the public information revealing system, which consist of the bottleneck of the credit risk quantitative management of China's banks.(3) This paper analyzes some main credit risk measurement systems and summarizes the advantages and disadvantages of these systems.(4) With the empirical analysis of the application of KMV mode in China and the modern credit risk measurement and management models, this paper finds the KMV model and CreditMetrics model have practical meaning in China. China's commercial banks can adopt the method of VaR based on the status quo of our country and make some creative use of these models.(5) The application of the western modern credit risk quantitative measurement models is a gradual and transitive process. China's commercial banks must research and develop their own models to measure and management the credit risk.