Research On Credit Risk Measurement Of Modern Commercial Banks

The credit risk is one of the most ancient risk in the financial market, it is also themost common reason causing the bank to go bankrupt. So credit risk measurement is oneof the critical stage in the whole course of the operation of commercial banks. Facingthe continuous fluctuation of the financial market environment and sever competitionamong the foreign banking after entering WTO, how to improve the management level ofcredit risk as soon as possible has become the urgent task for commercial banks in ourcountry. The purpose of the paper is to do some preparatory research to set up suitablecredit risk measurement model for our country at present, by the means of analyzing andcomparing the foreign advanced models on credit risks measurement, while combiningreality.First, this thesis gave a broad overview of the related literatures on credit riskstheories and outlined the basic concept of credit and credit risk. Then, it analyzed andcompared four kinds representative credit risk measurement models, which are CreditMetrics model, Credit Risk+ model, EDF model and Credit Portfolio View model.Considering that Reform of Non-tradable Shares has eliminated the main obstacle thatrestricts the use of EDF model for our country, so this thesis chose EDF model to conductthe demonstration research. We selected twenty listed companies in ten industries asspecimen to calculate and compare their each default to distance, and then extracted othergroup of sample which included fifteen listed companies to compare and analyze thechange of their default to distance after the Reform of Non-tradable Shares, thedemonstration research result showed the EDF model had the certain serviceability in ourcountry. Finally, it brought forth some improvement suggestions according to theconclusions.