Research On Credit Risk Measurement Of Commercial Banks Based On IRB

Credit risk has always been the most important financial risk form confronted by commercial banks, which is more crucial to the Chinese commercial banks whose profits mainly rely on traditional credit business. Credit risk measurement is the critical stage in the whole course of credit risk management. IRB, which was proposed in the new Basel capital accord, is an international summarization of advanced experience in credit risk measurement. Therefore, the research on credit risk measurement based on IRB is practically significant for Chinese commercial banks to control their increasing bad loan and enhance the core competitive capacity.Firstly, this thesis defines the connotation of credit risk and credit risk management, and analyzes some representative traditional and modern credit risk measurement methods, then abstracts the main ideas and contents of Basel accord and IRB. The 4^th chapter is the demonstration analysis of the core risk factor—PD in IRB. With the resolution of equity value and equity value volatility, both are the parameters of KMV model, which is adopted to calculate the distances to default of ten Chinese listed companies in five industries;In the end, it reviews the problems of credit risk and IRS in Chinese commercial banks by related data, and advises to establish and perfect IRS of Chinese commercial banks from four aspects.