The Study Of VaR On Credit Risk Management Of Commercial Banks

Credit risk is the main risk of commercial banks. As the core of modern economy, the level of bank's credit risk management affect the entire state economy stability. Currently, there are many problems in credit risk management that need to be further discussed; at the same time, with the globalization of world economy and opening, Chinese banks will be faced with much more challenges. It is very important to research on quantitative methods of credit risk management and to make empirical studies in China.First, the dissertation analyzes the advantages and disadvantages of traditional measuring methods, review the quantization research developing process of credit risk. Second, introduces theory and basic computing methods of VaR. As some scholars have cited that VaR is not sub-additive, the dissertation supplement the follow conclusion based on two own theorems: when the profit-loss distribution is one of the elliptical distribution family, VaR is sub-additive. That explain VaR can be used widely under some conditions although it has some limitations.The application of VaR in credit risk management has two classes: Actuarial Method and Market Method. The dissertation chooses CreditMetrics model and KMV model to be analyzed and compared, indicates the limitation of using such models in China, and also advances the wise choice of credit risk management method at present time is estimate default probability based on Market Method.To satisfy that VaR is sub-additive, the dissertation adjusts the assert distribution to be a new one similar to Normal. The new distribution can choose numeric area according to actual situation, so it has more flexibility. We solve the default probability, expect loss and VaR value of common fixed assert load and guarantee load following the new distribution function. Furthermore, we also discuss the default relativity and loss risk of load profilo.Finally, the dissertation concludes reasons of the bad status quo of China banks' credit risk management via analysis 205 non-performing loans which have been peeled off or canceled after verification from some one commercial banks. Then, advances that the precondition of improving commercial banks credit risk management level is to perfect credit score system and upbuild credit data-base.