Research On Clients' Credit Risk Measurement Based On The Internal Ratings-based Approach (IRB) In Chin's Commercial Banks

With the improvement of our socialist market economy system and speeded development of a variety of companies, the needs of capital become pressing. Also it objectively raises higher abilities of capital providing of our commercial banks. So the assessment of credit risk, especially the measurement of credit risk is very important.The Internal Ratings-Based approach (IRB) is a internationally advanced one from Basel Committee, and I build this Credit Scoring-IRB model with following improvements of Credit Scoring: first, using variation coefficient method to make index's weight more scientific and reasonable; second, gradually getting quantification of non-financial index with AHP and Professor Scoring; third, selecting non-financial index from industry analysis, product markets analysis, management analysis, and adding our country's industry policy, price elasticity of product's demands, supply chain analysis, managing control analysis, to non-financial index, which becomes much more scientific and comprehensive; fourth, making improvements of index scoring. And also, I analyze the feasibility of IRB in China considering rate of capital sufficiency, internal rating system, professional personnel; and build credit risk measurement model, based on iron industry, which shows industry segmentation, and taking HANG ZHOU IRON & STEEL CO., LTD as an instance.Compared to other credit risk measurement models like KMV, Credit Risk+, Credit Scoring-IRB model, not only based on the current situation of China's commercial banks, but also combined with internationally advanced IRB, is the needs of integrating with the world and learning internationally advanced measurement models.