The Demonstration Research On Measuring The Credit Risk Of Cmmercial Banks

Credit risk is one of the most important risks that modern banking is confronted with. Compared with the international advanced risk management, in the aspect of using modern risk management model to analyze credit risk, Chinese banks lie in the initial stage. According to the practice in China and referring to the international advanced models, I will do demonstration research on measuring the credit risk of Chinese commercial banks in the paper.First, the paper expatiates the basic concept , characteristics and cause of modern credit risk. On the base, analyses the influence on the macro-economy and micro-economy and Chinese current credit environment.Second, discuss the basic theory on model establishment. It includes three main factors: exposure at default, probability of default and loss given default. In addition, the paper introduces the computation of value at risk on credit risk.Third, introduce and analyze the traditional analysis method and the modern measuring model of credit risk. After comparing four advanced models, I choose two of them for demonstration research in the next chapter.Fourth, the paper measures the credit risk of commercial bank exerting KMV model and CreditRisk+ model that are modified. On this basis, the paper discusses the relation between credit risk measure and capital plenitude rate. The commercial bank will prepare for the risk loss and set the economic capital.Finally, combining the demonstration results and Chinese practice, the paper summarizes the feasibility and necessity of measuring the credit risk in Chinese commercial banks. And put forward countermeasures and suggestions on establishing the measuring model adapting Chinese practice.