Study On The Credit Risk Rating Systems Of Commercial Banks Of China

The study on crisis of worldwide banking indicates that the main reason for bankrupt of bank is credit risk. The modeling and utilizing of credit risk rating is the study keystone for risk management as the key tache of commercial bank credit management. This thesis sets up a suitable rating model for china based on developed credit rating technology.Firstly, this thesis rebound the credit rank and adopt ten-rank in allusion to existent problems of commercial bank of china. Factor analysis is managed to choose seven from twenty-three financial index to model. Four non-financial indexes are chosen as supplement of financial index.Secondly, this thesis lucubrates the credit risk rating model based on plenty of date. According to Hierarchy-Station evaluation, the thesis set up base credit rank model based on financial index and revised model based on non-financial index. Then, the thesis sets up discriminant function according to fisher rule and conformity based model and revised model to improve nicety rate of model.Finally, the thesis shows the model's discriminant nicety rate and dicriminant trend via demonstration analysis. Namely, discriminant nicety rate is seventy-three point eight percent and the discriminant nicety rate of former four ranks and after three ranks is greater than the middle three ranks. After conforming revised model to based model, the nicety rate is seventy-six point three percent. The nicety rate is greater than based model and discriminant trend is the same.