The Approach To Calculate Industry Credit Risk Limit

Since the 1990s, with the globalization of economics, the integration of financial markets, increased competition and the relaxation of financial control, financial innovation and derivative financial products quickly developed, and various of derivative financial products make the risk more invisible, harmful, difficult to be measured and easier to trigger systemic risks. Advanced foreign bank's practice have proved that a set of scientific risk limits management system can enhance the banks' ability to create value and achieve long-term, stable and sustainable development and provide strong protection. Scientific and rational model of the measurement limit risk management is the most important part of risk limits management. Therefore, I try to summarize the risk limits management models which are in use all over the world. And considering the characteristics of industry in our country, 1 try to set up the model which is suitable for our country.In this paper, the first part introduces the background and significance of the research, and proves that risk is relevant to industry through the analysis of statistic data, and point out the significance and necessity of the research. The second part contains the definition of credit risk, the relevant theory, summarize the credit risk limit models which are in use at present. Basing on that, I put forward the ways of classification which is based on credit risk calculate factors, in addition, the paper analysis the characteristics, shortcomings and applicability of the modern calculate model. In the third part, I mainly introduce the Black-Scholes Pricing Formula, which has a wide range of applications, this paper try to use this theory into the industrial credit risk limit. Through some detailed analysis and a solid theoretical model, the Black-Scholes Pricing Formula can calculate risk limit in the industry. This chapter mainly introduces the method of calculation and gives the complete calculation steps. In the last part, I calculate the risk limit of the power industry in this method, and finally analysis the result.