Appraisement And Application Discussion On Risk Measurement Methods In China's Commercial Banks

Commercial bank risk means, the actual revenue of bank deviate the expected revenue, causing the possibility of the additional loses or revenue because of the influence of indetermination factors in the commercial bank conduction process.This text divides commercial bank risk into credit risk, market risk, mobility risk and operation risk according to the Basel Accord, Risk measurement is the foundation of bank risk management, commercial bank risk measurement generally involves: risk sensitive degree analysis, the risk fluctuation analysis and risk value analysis from brief to complication, these three aspects measure risks in different respects.Credit risk measurement methods include traditional credit risk model and modern credit risk model, the traditional credit risk model includes the expert's system model, the Z grade model and ZETA model, our country stays this level. The modern credit risk measurement model includes KMV model, Credit Metrics Model, Credit Risk+ model and Credit Portfolio View model, Credit Metrics Model is worthy of our country application in the analysis and contrasts of four modern risk measurement models.Interest rate risk measurement method mainly includes: Interest rate sensitivity gap method, duration method and VaR. our country's commercial bank generally adopt gap as the interest rate risk exposure measurement, this method has many shortcomings and falls behind. This text suggests duration and VaR is applicable to our country. Overcoming these limitations has great significance to commercial bank market measurement and management of our country.Commercial bank mobility risk measurement mainly involves static analysis method and dynamic analysis method, the static analysis method includes: Save to loan ratio, current assets ratio, save to loan fluctuation rate, exceed reserves etc. Owing to limitations of the static analysis methods, the dynamic analysis method is getting more and more applicable, its main method includes: Mobility gap method, cash discharge method etc. This text puts forward some suggestions to the mobility risk measurements method of our country.Commercial bank operatal risk measurement method includes: The basic index method, standard method and advanced measurement approach. Each of these methods has its characteristics. To Chinese commercial banks, standard method is the implicating direction.Because our country is in the formation period of market economy, the western commercial bank's risk measurement technique is still subjected to our actual conditions. To raise the risk measurement and management level of our country's commercial banks, this text suggest strengthening the development of risk management system, technique and talents.