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Research On Risk Measurement Of Loan Of China Commercial Bank

Posted on:2006-09-07Degree:MasterType:Thesis
Country:ChinaCandidate:Q W ZhouFull Text:PDF
GTID:2189360185479036Subject:Money and Banking
Abstract/Summary:PDF Full Text Request
New Basel Accord introduced the idea of full management of risk. Though the commercial banks of our country will not act to all the standards of this accord when it'll come to effect in 2006, the banks should make advance in the techniques of measuring the risk of loan. In this paper, I try to find a solution to the development of measurement methods of China commercial bank. After the research of New Basel Accord and the practice of western commercial banks'practice, I propose the China commercial banks use the KMV or Z-score as the methods before adopting the standards of New Basel Accord. And the banks should prepare for the utilization of CreditMetrics for the purpose of full management of risk.The paper consists of 7 parts: the first one is the introduction of this paper ,which introduces the main contents and ideas of this...
Keywords/Search Tags:risk of loan, new basel accord, kmv model, var, CreditMetrics Model
PDF Full Text Request
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