The Applied Research Of The Credit Risk Model

The credit risk is the most ancient, the most important and thorniest risk of a bank. How to measure the credit risk effectively and improve the anti-risk ability of a bank, is a question which experts in the theory circle and practicality circle continuously discussed, and want to find a way to solve. The paper compared and analyzed the major credit risk model inside and outside the nation from application layer, which is in the base of massive literature review and theoretical analysis. And it also analyzed the applied value of the Logit model and CreditMetrics model in the bank of our country from the theory circle and practicality circle. The conclusion and the contribution of the paper mainly included the three following aspects.First, the paper chose 8 financial indexes by theoretic analysis and demonstration, such as Ln(total asset), total asset turnover ratio, accounts receivable turnover ratio, cash/ total debt ratio, return on total asset before interest and tax, profit margin, debt to equity ratio, sales growth rate of major operation, and finally built the logistic model. The demonstration proved that accounts receivable turnover ratio, cash/ total debt ratio and sales growth rate of major operation has great effect in credit risk of a company.Second, the research discovered that the CreditMetrics model could make up the defect of the logistic model in a certain extent, such as excessively depending on financial indexes, easy effect by people operations. The CreditMetrics model is more sensitive and exact than the logistic model, because it measures risk by each loan of a company, and fully considers the relativity of each loan.Third, using the modern credit risk model to measure the credit risk is the direction of the credit risk management from the long-term. Therefore, financial organizations such as banks in our country should make great effect in building a good risk manage system of a bank, the uniform database and the advanced manage information system, in order to breaking the bottle-neck of using the advanced credit risk model. So it can help the credit risk manage system of our national banks attain the requirements of the new capital agreement, and improve international competition of our national banks.