Research On The Quantitative Methods Of Commercial Bank's Credit Risk

Credit is the basis of modern market economy.The economic activity takes the contract as the foundation to engage in the production and the transaction more and more universally, guarantees orderly move of the economy.The bank credit, as the leading credit of the system, is the key aspect in the economy,so the credit risk is the most important risk in modern economy, and also becomes the most prominent, concentrated, and rigorous for a commercial bank.The methods of credit risk researching in developed countries has changed from financial ratio grading to multi-variable and dynamic analysis based on capital market theory and computer information science, but in China most of banks evaluate credit risk by the methods which lack quantitative analysis.In addition, the banks in China ignore the credit risk of out-table asset and the evaluation of concentrative risk, and can't apply the integration skills of multi-technology to credit risk, the quantification of the credit risk has become the most challenging topic of risk researching area.This thesis researches the theory and methods of credit risk quantification comprehensively and systematically, Based on an empirical model it draws that the KMV model can well explained the Chinese commercial bank's credit risk, and designs the factors indicator system of the quantitative model with the realities in China.An exploratory research was carried out on the credit risk quantification management, attempts to reduce the disparity in this research and application with the overseas.The thesis mainly discusses the modern quantitative methods of credit risk.It firstly analyses the regulations in the old and new Bassel Agreement on the credit risk quantification of the international banking, discusses some probable approaches of the credit risk quantification.Then the paper introduces the factors that make up the modern modes of credit risk quantification and the basic theory of measurement, discusses three most influential models worldwide—CreditMetrics, CreditRisk+ and KMV, based on those up-mentioned.After comparing their advantages and disadvantages respectively, the author draws the conclusion that KMV has better prospect under current situation in China.In the third part, KMV is applied to undertake credit analysis about the situations of 15 companies listed in the stock market before and after the stock-system reform and gets rather ideal result.The ending part discusses the Micro-and macro-environment of these models when applied in China.