The Research On The Credit Risk Measurement On Retail Exposure Of Commercial Banks

On December 11,2006,according with China's WTO accession commitments,full opening up of China banking sector,foreign banks will gradually enter the Chinese market.As one of the basic business types operated by a modern commercial bank,retail exposure will also become an important area for competition.The retail exposure of China's banking developed relatively slowly,until recently,the retail credit attained the rapid development in a true sense.However,the potential financial risks are apparent,especially the credit risk.Credit risk management in China's banking,mostly remain at the initial stage of the judging system, especially the retail exposure.It is far from enough for ensuring the safe and stable operation of banks.Therefore,the perspectives of the retail exposure credit risk of China's banking from quantitative analysis are good to accurately assess the risk,to upgrade risk management,to better face the foreign banks' competition.At the beginning of the 1990s,with the rapid growth of derivative financial instruments and transactions,the financial risks have become increasingly prominent.Several crises of banks and financial institutions shocked the world.Many of the world's largest financial institutions develop a variety of effective credit risk management model,including the four representative best models:CreditMetrics model,KMV model, CreditPortfolio View model and CreditRisk+ model.In June 2004,the Basel Committee issued the "New Basel Capital Accord".The internal rating is the core of the new agreement.It is a set of framework and methods for the calculation of credit risk.This paper,in the framework of the new Basel Accord internal rating to the bank,mainly studies the retail exposure credit risk measurement system in depth,and puts forward the quantitative credit risk management method of China's backing's retail exposure.The main research results can be summarized as follows:(1) This study focuses on the credit risk measurement techniques of the retail exposure.Put forward the main content and technical model of the credit risk measurement of the retail banking business.It is different from the previous research on the domestic retail exposure credit risk management areas.(2) For the domestic retail banking business having been at a relatively low level of credit risk measurement in the management,this paper raises a more comprehensive thinking of building Bank Credit Risk Management Framework from two sides:a single retail customer credit risk analysis and quantifying the overall risk asset portfolio.(3) The paper starts depth studies of the two risk factors(PD and LGD) from the measurement techniques and building model.Research forecast: credit scoring models found in the probability of default(PD) stability, interpretability and accuracy is better than other methods;Many studies argue that LGD can be treated like this:For specific retail asset portfolio, it can be assumed that the subordinated loans of LGD is subject to certain Beta distribution.(4) Based on the analysis and comparison of four international banking community popular asset portfolio management models,the paper found: Creditrisk+ model is default model,requiring less data.And the retail banking business is in line with the size of their loans,small value of the single,so this model is the best choice.