Research On Quantity Measurement Models Of Credit Risk For Mordern Bank

Credit risk is one of the most ancient risks of commercial bank, though various market risk becomes more and more outstanding in recently decades, it has not changed the condition that credit risk as the chief risk form of banking, especially at our country. In the past twenty years, the most noticeable change in bank management fields is that it has transformed from traditional assets-liabilities management to entire risk management that focus on risk measurement and risk optimization of management emphasis in banks. This article stand on how to improve domestic commercial bank credit risk quantity measurement management, first of all, analyzed the situation that how credit risks management is going on abroad. It introduces four prevalent models, they are: Credit Metrics, Moody's KMV, CSFP CreditRisk+ and Mckinsey's Credit Portfolio View (CPV). In the foundation of carrying on a detailed evaluation and comparison of each model's theoretical foundation, core idea, model framework and the concretely course of algorithm realization of probability of default, analyzed it's applicability in our country. Put forward a constructive reference suggestion to the Study and Practice of our country's quantity measurement models of commercial bank's credit risk.Especially this article makes use of the measurement method of risk degree which is broadly used in our country, put forward the conceive that the income of bank loans is accordant with the enterprise loans project's income, thus uses 0-1 plan method to carry on credit risk management in commercial banks. It has a great meaning to change the present situation that only aim at single loan in our country, lead the foreign forerunner idea of credit portfolio go into bank credit risk management, scatter risk, raise income, make our commercial bank more valid to control credit risk, reduce cost in the new environment.