A Study On The Relocation Of The Credit Risk In The Availability Of Guarantees And The Loan Types Selection Model

Credit risk is the main and basic risk that the commercial bank faces. The measurement and controlling technique of credit risk always drop behind just because of the daily operation of commercial bank under the government policy, which bring a great number of the Non-performing loan to the four state-own banks. At present the finance industrial in china faces great challenges, and the proclamation of Basel Agreements makes a higher requirement on the capital quality,free capital and internal risk controlling. In view of these, in order to carry out the research we select credit risk as the subject investigated in this article, just by analyzing the factors-the way of loan that do have influential on the credit risk. The way of loan can be cataloged into three types, credit, guarantee and note cashing according to the loan laws of our country. The third type is also a kind of guarantee in a way. So in this article, we only catalogues the way of loan into two types: credit and guarantee. We focus on the credit risk and revenue under the two kind of loan. According to the mechanism of risk-revenue compensated, we firstly get the respectively risk prices, and them we choose the way of loan by the level of risk prices. It may not only benefit for the improvement of credit risk management in banks, but also can reduce the revenue risk in loan.Firstly, we make a simple introduction to the credit risk and its risk measuring criteria. And after deciding the measuring criteria, we study the transition of credit risk under guarantee. We theoretically get the effective qualification for guarantee which can come over the correlative transaction in a way. And then we make an examination to the risk transition under this effective qualification by using the VAR approach.Secondly, based on the introduction to the option theory and capital asset pricing model, we establish a model of the loan collateral choice. Using this model we can decide which way is the best to the same loan under the given loan interests rates, which may help the bank make scientific decision when they give loan to the enterprises.Finally, we make an empirical study on the established model. The study finds that model is effective and applicable. The results deduced from the model can tell us the real condition of risk- revenue for a given loan of the bank investigated. The findings in this article not only provide the bank with possible choice strategies when they don't know which way is the best facing the enterprise of different rates grade, but also provide a good basis of risk controlling before loan. In brief, This will strength the level of credit risk management in commercial bank.