Empirical Research On Commercial Bank Credit Risks Assessment Based On Credit Metrics

The credit risk is one of the main risks that our commercial bank faces now in our country, banks realized the necessity to strengthen the supervision of the credit risks because of American subprime loan, and the measurement and management of credit risk has become the core content in commercial bank. However, due to commercial banks'management system in our country is still not perfect, the management level of credit risk is relatively backward, and in recent years, with the expansion of the business, credit risk in commercial banks is increasing. Therefore, it is the inevitable request to study the characteristics of credit risk, establish appropriate measure model, precisely analyze credit risk commercial banks faced in quantity and finally propose appropriate countermeasures in order to reduce credit risk and improve the level of management.Firstly, this dissertation expounds the basic concept of credit risk, analyses the characteristics of credit risk. Secondly, based on the analysis of all kinds of theory and modern credit risk measurement model, the paper introduce Credit Metrics Model to go on empirical research of credit risk measurement in our country. Empirical analysis first select sample data according to the actual situation of the commercial bank. Then according to the needs for parameters of Credit Metrics Model, through the analysis of the historical data collection and cases of foreign mature data, it can determine the transfer matrix of Credit risk, default rates and default recovery. And according to the yield rate in Treasury bond market the paper will obtain long-term yield curve, and also assume assets related coefficient. Again, according to the parameters above calculated by Monte Carlo simulation and Cholesky decomposition technology, using Matlab programming techniques, the dissertation calculates 10 loans bank in combination of value and risk value.The empirical research shows that the current loans of A commercial bank are the reasonable combination of risk value, it can be controlled with reasonable structure, and credit risk management level of case bank is higher; while Credit Metrics Model has its rationality in measuring risk value. Finally, based on the analysis of deficiency in Credit Metrics Model applied to commercial banks in China, it puts forward the corresponding improvement measures: establishing the default rate database, promoting the development of credit rating, perfecting long-term yield curve and speeding up the cultivation of risk management personnel.