The Research On The Automotive Consumption Loans And Their Credit Risk Management

Automotive consumption loan is a consumer credit that the borrowers, i.e. the car buyers, apply to a commercial bank with some methods, e.g., mortgage, pledge, buying insurance or the third-party guarantees, to pay for the car, and then return the principal and interests by installment to the bank. With the rapid development of such loans in recent years, the banks have to strengthen the credit risk management of this business. Because of the complexity and importance of credit risk, many risk measuring models emerge besides the traditional credit analysis methods. The VaR based Credit Metrics Model, on principle of CAPM and VaR theory, on the basis of credit rating, can identify the credit risk of the traditional investment tools, such as loans, bonds and so on, as well as the derivative financial instruments like swaps. It also provides a valid management and foundation to improve the passive situation of credit risk management in many commercial banks.The thesis firstly analyses the development of China's automotive consumption loan market, showing its true status and the key issue in the process of the development. Then a VaR based Credit Metrics Model is applied in the credit risk management of auto loans. With deep analysis of the credit risk management theory, the main content of this model and its application methods are presented, meanwhile a set of operational policy recommendations to perfect the credit risk management are proposed.By perspective of the VaR based Credit Metrics Model, it researches the single car loan contract and the VaR of the car loan portfolio, and analyses the measuring of the credit risk of the contract through calculating the standard deviation, relative risk value and the percentage level. Finally, according to the result of the simulating computation, it finds that Credit Metrics Model could be used in the credit risk management system of banks. But its real application in China encounters some problems, e.g., the domestic commercial banks have not established the database of credit assets, the credit rating system is not perfect, and lack of prime rates in the financial markets. It presents the relevant policy advice from three aspects including furnishing the Credit Metrics Model with conditions of its application, abasing the credit risk of auto loans, and improving credit environment of commercial banks in China.