A Study On Early-Warning System Of Commercial Bank's Credit Risk

In the last years, at the measure and management of credit risk, overseas commercial banks have been gradually maturing, however domestic commercial banks fall far behind. In this field the achievement of domestic researches is deficient. In 2006, our country will practice citizen's treatment to overseas commercial banks. This will provided the opportunity for the domestic commercial banks to cooperate with foreign commercial banks in the business, our banking will be confronted with enormous challenge at the same time.At the present, many commercial banks attach the greatest importance to enterprise loan. Commercial banks' profit is very closed with it .So once the enterprise faces Financial Crisis, the loan probably becomes the bad loan. And the bank will face the big risk. Most credit officials of the commercial banks put stress on the analysis on financial reports. They hope to dig out the information that can help them in decision-making. However, the cumbersome financial index system causes the complexity of information obtained and the information has not been spent truly, which seriously interferes with the credit official's analysis and decision-making. How to pick up the sensible and accurate financial indexes that can reflect the enterprise's financial situation from numerous indexes and establish the positive model are the main aims of this paper.Financial Crisis is called the Financial Distress. The most serious financial crisis is financial bankruptcy. Many researches on financial crisis start from the enterprise bankruptcy. Because the interest of commercial banks is different from the outside investors and inside governor, commercial banks think a lot of the possibility of payoff and the liquidation ability. The Enterprise Financial Crisis should be explained from the capital and cash flowing . From the capital, The Enterprise Financial Crisis mean that the value of the assets is less than the liabilities. From the cash flow, it means that the cash flowing can't pay for the debt. Generally speaking, the commercial banks pay attention to the capital, but with the variety of the economy environment, our commercial bank pay more attention to the cash flowing .According to our circumstance and the new Basel Agreement, the enterprise which has been treated "ST" will be defined the enterprise of" the finance crisis".The paper selects 33 financial indexes and chooses 60 listed companies as the samples of positive model. The paper mainly exploits single variable analysis, multi-variable analysis and AHP model. These methods are frequently adopted in domestic and abroad study of financial crisis. The paper is made up of 4 parts. And it can create two different model according to the long loan or short loan. If the point is lower than the attention level, credit official can command that the enterprise should increase the pledge and make a prudent decision and choose other appraisal means In addition, the model can also be used to supervise enterprises that have already got theloan. If commercial banks find that customer's financial situation worsens, the banks can take the remedy in time.The innovation of the paper lies in: ?Application innovation. From angle of financial crisis of the enterprise , the paper puts forward the system about credit risk management of commercial bank. The general scholar chooses the samples and sets up financial crisis model mainly from supervision position and investors. This paper proceeds from angle of commercial bank and sets up the enterprise's credit risk prediction model. ?Positive method innovation. The paper applies AHP method . ?Choice of the financial indexes. In order to avoid omitting important indexes that can reflect financial situation, the paper chooses 33 indexes, including the financial indexes used by the market analysts at present. With the help of the scientific statistics means, the paper chooses some representative indexes from numerous financial indexes. ?This system maneuverability is very strong. The system is scientific and it's very easy to operate.As for the credit risk analytic system established by this thesis, follow-up study is: ?to make sure reasonable time to estimate, assure the relativity and the usefulness of result; ?to build up the specific model according to the related factor ,such as business enterprise scale, region, profession...etc.;?to carry on the innovation on statistical method so as to set up the non-linear financial crisis prediction system ;(4)to expand samples and to choose the financial data of the commercial bank' s customer.As to measure of credit risk of the commercial banks, the early warning system of crisis in this paper is only the enterprise customer's credit analytic system. It has not covered a risk analysis of banks loan and the sample is less than the sample needed. In addition ,we can't do special treat to abnormal numbers.In a word, early warning system is always better than nothing, and without early warning system, all loans may be accepted, but worse early warning system can not offer loans to those unhealthy enterprises.