A Study On Credit Risk Of Commercial Banks Under The New Basel Accord

The New Basel Capital Accord was published by Basel Commitee on Banking Supervision on 26 June, 2004, which consists of three pillars: minimum capital requirements, supervisory review of capital adequacy and public disclosure .The New Basel Capital Accord is also the standard document of credit risk management in international commercial banks, and it will play a far-reaching role in the global banks.The main risk undertaken by commercial bank concludes credit risk, market risk and operational risk. Risk reserve fund requirement is the primary index for credit risk management. The research on measurement and supervision is the hot issue in domestic and overseas. This study is about the core of the new Basel capital agreement, with credit risk measurement method. It introduced the status and shortage of our national commercial bank capital supervision, attempted to provide theoretical method and suggestive significance.This study firstly introduced three principles of new Basel agreement such as minimum capital requirement, external supervision and market public disclosure , and analyzed mainly problems of new Basel agreement, then according with our national commercial bank situation, analyzed the practice of capital supervision. The measurement of credit risk management under new Basel agreement is the kernel of this paper. It introduced four different capital reserve fund measurements such as standard method, IRB method and Monte Carlo method. And it analyzed Mont Carlo method amply. Then it compared three methods to analyze asset credit risk measurement in retail industry with conclusion of distinctly difference. The last chapter analyzed the theory and actuality of external supervision and market restriction. The part of external supervision primarily included the analyses of aim and efficiency of capital supervision. The part of market restriction mainly included the necessity and moderation of information disclosure system. Then we proposed some policy suggestions for credit risk management.