Commercial Bank's Credit Risk Measurement Models And Their Application In China

There are credit risk, market risk, liquidity risk, operating risk, law risk and so on. The credit risk is one of main risks that the commercial banks face in the management process, so it is extremely important for the commercial banks to strengthen the credit risk management. More and more financial institutions have pay attention to the management of the credit risk. At present, statistics, system engineer are used in the modern financial management. The financial innovation emerges in an endless stream. Commercial bank's risk management standard must do great efforts to suit the challenge that the finance innovation brought to the credit risk management, and positively give play to the credit's promotion to national economy development.Along with Chinese financial opening, the commercial banks must strengthen the competition ability in market, develop suitable technology of credit risk management, improve the risk management system and raise the level of the risk management.Z-score model stands for the traditional credit risk measurement model. Modern credit risk measurement models include Credit Metrics model, KMV model, Credit Portfolio View model and Credit Risk+ model. The thesis mainly introduces the theoretical framework of the five models. The second chapter is the comprehensive analysis of the advantages and disadvantages of the five models and their applications in China. Z-score model is simple for China. Considering the lack of the credit data of financial market in China, KMV model, which can directly use data from stock market to measure credit risk, has extensive application. The author thinks that the Z-score model and KMV model adapt to our country.The third chapter is mainly about establishing risk measurement based on Z-score model and KMV model. The thesis uses the dates of twenty listed-companies. The thesis makes an empirical study on the two models. The last chapter is the conclusion and suggestions. The author puts forward four suggestions on the application Z-score model and KMV model. In order to apply the Z-score model and KMV model, we must improve the accounting management, create the database about credit risk, and make the bond rating system.Main innovations of the thesis:(1) Innovative topic with strong significance and practical value.(2) Systematic introduction about the popular credit risk models. Discuss about their application in China.(3) The thesis makes an empirical study on the two models.