Study On The Measuring Credit Risk Of Individual Consumption Loan Portfolio

With the continuative development of economy and standard of living in China, personal asset has much improved, and the individual credit demand also has greatly increased. "Credit consumption" enters our life gradually. But, along with the extension of the credit loan business scale continuously, the credit risk exist in the credit consumption exposes out gradually. Particularly the credit risk problem,has already become the shackles of our country's credit loan to healthily develop. How to lower the risk of consumption loan,has already become the extremely urgent problem to be resolved in our commercial bank.Firstly, this paper introduced the development of individual consumption credit of commercial bank and reviewed the related literature of consumption credit risk research, and then analyses the fundamental reason of banking consumption credit risk with economics theory. and the reason leading to credit risk with game theory.Secondly, this paper emphasizing on introduction of the basic factors of the portfolio credit risk measurement based on Advanced IRB Approach and formed a framework of portfolio measurement.Thiredly, according to the works above, a general frame for research on the consumption portfolio credit risk model can be generalized. The empirical part of this paper is the use of technology which internationally accepted measuring portfolio credit risk–Value at Risk(VaR), using Monte Carlo simulation approach to have a analysis and forecasting on the ratio of non-performing loan of individual consumption credit of commercial bank. and through using four random process and historical dates to simulate trails of changes in ratio of non-performing loan and got the next period VaR and then got the lose rate of risk exposure The results show that Monte Carlo simulation approach can get a useful VaR of the ratio of non-performing loan. from the result , the bank's ability of credit risk measurement and management can be improved.Finally, based on the above results, some suggestions are made in this paper to improving credit risk measurement through institutional construction and technical means and the demonstration.