The Research On Credit Risk Measurement Model Of Chinese Commercial Banks

Credit risk is one of the oldest and the most important risk in the financial circle. The globalization trend of finance and the relax of monetary control intensify the fluctuation of financial market, thus the international and national financial circle focus on the risk management of commercial banks. Especially since 1990, people considered profoundly with the problem of credit risk management in a series of important events of financial risk such as the bankrupt of the Bahrain Bank and the financial risk of Asia and so on.In China, commercial banks are still confronted with tremendous credit risk because of the exterior environmental restriction and the limitation of its management system. So it is important that we make deeper analysis with the credit risk management actuality of Chinese commercial banks and search the credit risk measurement model which is fit for China on the basis of the compare between China and other countries. Firstly, the credit risk measurement model has important guiding significance for establishing and strengthening Chinese credit risk control system. Secondly, with the property system reform of the wholly state-funded commercial banks and large influxes of foreign financial organizations, the banking gets more competitive, the risk of bankruptcy enhances, so establishing an effective credit risk measurement model of commercial banks has important operational significance for supervisal organizations, commercial banks and the public.The author tries to establish the econometric models and construct the index system on the basis of macro-economical environment and micro-financial organizations, and makes research on exterior credit risk and interior credit risk which are conducted with risk theory, based solely on quantitative analysis and resorted to multivariate statistics and econometric analysis tool. In the exterior credit risk, firstly it measures exterior credit risk index from 1979 to 2005 by Factor Analysis, and then finds out several key macro-economical indexes on the basis of macro-economical environment and micro-financial organizations, which affect exterior credit risk of Chinese commercial banks, at last discovers signals which lead to banking crisis as soon as possible on the basis of the signals'movement. In the interior credit risk, it constructs the"CAMEL"system of credit risk, and then takes Factor Analysis and a series of tests for microcosmic financial organizations, at last finds several indexes which has notable differences between high risk banks and low risk banks, And then it selects indexes by LOGIT model and take tests for the model.At last, it puts forward relevant policy advices on the basis of the conclusion.