Creditrisk Management Study Of China's Commercial Bank On A Economical Capital Basis

Credit risk is an important factor that effects the survival and development of commercial banks,and is of the largest and foremost risk type faced by commercial banks.In the Core Principles for Effective Banking Supervision enacted by the BCBS(Basle Committee on Banking Supervision),it has categorized the main risks into 8 which are credit risk,market risk,operating risk,liquidity risk,country risk,law risk and strategy risk.Credit risk is holding a special position among all these risks and credit risk management has become one of the most significant parts of risk management. As the financial crisis occurred,credit risk prevention and management receives more and more attention from the international banking industry.Some new measurement models comes out in the risk measurement and management fields.The risk measurement method begins to develop from qualitative analysis to quantitative analysis while various kinds of statistical analysis techniques have been developed and put into application. Only modern economical capital management is imported,could the domestic commercial bank hold the advantage during the competition with their foreign counterparts.But compared of the managements of our bank with the western banks,there has been a certain distance away,so we can not just take western management skills and put into use without modifying them a bit. With our specific national situation taken into consideration,the basis of mastering the western advanced risk measurement methods,combined with current situation of domestic credit risk management,we can work out the proper credit risk measurement method that fits our country.So this paper has positive significance on the domestic commercial bank credit risk management under the new internation situation.This paper emphasis the necessity of applied economic capital management skill.On the basis of a simple introduction of the basic theory of capital management skill,this paper has specifically studied the credit risk measurement methods under the capital management.Then,according the specific national condition, merits and demerits of different kinds of measurement method have been compared and the possibility of application has also been examined.The KMV model is used into the real estate industry, and the default rate has been calculated among the listed company of real estate industry during 2008 to 2009.The theorical explanation has been given out after analyzing the difference of default rate on a two-year basis.The relation between corporation asset value and stock value and the relation between asset value Volatility and stock price Volatility have also been further studied.Finally,according the result,the research conclusion has been made and further study direction has been given.