CreditMetrics Model Based On CVaR And Its Application Of Credit Risk Management Of Commerial Banks

With the influence and experience of U.S. sub-prime mortgage crisis ,the default of market regulation to investment bank and financial derivatives makes the management of credit risk of all the banks all over the world be the most attractive problem. In all of the risks banks accounted for the total, credit risk exposure to 60%,that makes commercial banks facing the greatest risk. In this case, how to effectively guard against credit risk is a major issue China's banking facing, and in the prevention and management of credit risk, measurement of credit risk is the most basic and most priority task。Starting from the meanings and the characteristics of credit risk in commercial bankThis paper describes from the point of risk metricsthe concept, parameters calculation methods and advantages of commercial bank credit risk management - VaR and its improvement CVaR then introduces some credit risk models on this basis. Next this paper introduced CreditMtrics model based on CVaR which is made appropriate amendments on . CreditMetrics model is a credit risk measurement model based on VaR and it was proposed by J.P. Morgan in 1997. This paper mainly combine with the actual situation of China's commercial banks and made positive analysis on loan datas of one of our commercial banks. It amended the input parameters of CreditMetrics model,calculate CVaR on the basis of the result of VaR.It is analyzed that the amended CreditMetrics model based on CVaR can accurately measure the credit risk of commercial banks in China.Finallybasing on the demonstration conclusion showed in chapter four and the applicability analysis of CreditMetrics model based on CVaR of commercial banks in China,the paper combining with the actual situation in China's commercial banks advanced that we must build data support systems in which CreditMetrics model based on CVaR applied,build credit rating system in which CreditMetrics model based on CVaR applied and establish bank credit risk measurement system on the basis of Credit Metrics model based on CVaR to increase application level of the new model in the credit risk management of commercial banks in China .