The Research For CreditRisk+ Model In Commercial Banks Of Quanzhou

For long times, credit risk has been one of the primary risks which banks are confronted with. Currently the outspread subprime lending crisis shows that credit risk would not only lead to the loss of relevant financial institutions, but also affect the stability and development of macro-economy of a country or even the whole world. Therefore the financial sector has been focused on and will keep focusing on the prevention and management of credit risk.With the development and application of econometrics and computer technology, many major financial organizations developed various credit risk management models in order to improve the ability of management and prediction of credit risk. Credit risk managements are changing from traditional qualitative analysis to quantitative analysis, from static analysis to dynamic analysis. Compared to developed countries, it is just beginning for commercial banks in China to use modern models to analyze credit risk. Therefore, the introduction of prevailing model is significant to improve the risk management ability of Chinese commercial banks.This paper analyzes the credit risk management of commercial banks by introducing CreditRisk+ model. It firstly introduces the development history of international credit risk management models and studies the application of CreditRisk+ model ever.By comparing the four major modern credit risk management models, this paper analyzes the advantages of CreditRisk+ model for Chinese financial market based on the current credit management state of commercial banks in China. Secondly, basing on the credit statics of certain commercial bank, this paper analyses the sample bank's credit management ability in major sector. The results shows that the sample bank's credit risk management ability in traditional sector is improving, whereas it is still insufficient in new sectors.Lastly, this paper came to a conclusion that the credit risk management ability of the sample bank is deficient on risk measurement and it is as the same to other commercial banks in quanzhou to some extent. Therefore this paper puts forward some countermeasures on how to use CreditRisk+ model in commercial banks of quanzhou.