Research Of Credit Risk Management Of Chinese Commercial Bank Based On VaR

At present, the financial risks in our country mainly concentrate on the risk of thecommercial banks, and the credit risk is the main risk of the commercial banks. This paperfirstly analyze the credit risk state of the commercial banks in our country, put forward thatto apply advanced risk evaluating techniques and risk management methods to the riskmanagement of our country commercial banks will keep away risk effectively. Afterconsulting plenty of literatures, the author tries to introduce modern risk managementtechniques to the risk management system of commercial banks under the present conditionsin our country.In the first part, the paper reviews the application developing process of VaR incommercial bank's risk management, and introduced VaR in the financial many domainswidespread applications. After sufficient analysis on the commercial bank credit risks, bringforward that we can strengthen our country commercial bank the credit risk management,effectively guarded against and melts the bank risk by using the scientific risk assessmentand risk management techniques. The paper introduce the evolution from qualitative toquantitative risk management techniques of the commercial banks and analyze thedeficiency in risk management of our country's commercial banks by facts and data. Afteranalyzing we can know that credit risk is major risk to China's commercial banks, andquantitative risk management techniques relatively backward. By the same time, the paperintroduces a kind of advance risk management technique-Value at Risk, or VaR. In thesecond part, the paper studies how to use the VaR method to measure and control credit riskin terms of default rate and ranks of credit. In addition, the paper utilizes the VaR method ofmarket risk analysis domain in the credit risk analysis based on default model and CreditMetrics model, in meanwhile weigh the credit risk by the loss of loan portfolio, and provethrough the thought feasibility applying in Chinese commercial banks, make every effort to bethat our country banks draws lessons and use the advanced abroad credit risks model to doout a little necessary preparation job by the fact that demonstration has studied a certificate.Finally, the paper gives some advice on how the commercial banks of our country toset up modern risk management system under the condition of reformations of financialsystem and the more intense competitions. It briefly describe the difficulty existent in the credit risk model and also point out the questions existing in the application of the models tothe credit risk management of our commercial banks, and put forward the countermeasureand suggestion.