Research About Credit Risk Management Of The Comercial Bank Basing On Data Warehouse

The credit risk is debtor's possibility that can't repay his debt with interest on schedule in the future, it is the main risk which the bank faces. The credit risk of banks not only influences the reform and development of banks but also influences the operation of the macroeconomic, and may even initiates the serious financial crisis. in order to improve the efficiency and accuracy on credit risk management, The introduction of data warehouse technology is imperative. This article seeks to aggregate CreditRisk+ model and data warehouse technology, and provide an effective solution for credit risk management of China's commercial banks.This paper introduces the importance of the credit risk management briefly at first, and according to the requirement of Internal Ratings-based Approaches about measuring credit risk within the New Basel Capital Accord, and carries on a comparative analysis to foreign modern credit risk measuring methods of commercial bank,and studies applications of data warehouse in our country's commercial bank credit risk management.Secondly, this paper discusses data warehouse technology and VB programming technology that commercial bank using.Then designes the overall data warehouse framework and program flow according to CreditRsik+ model. And Combining with common feature of our country's commercial bank loan data, improves the frequency band division method of the loan portfolio of CreditRisk+ model,and makes program to measure economical capital of commercial bank,and designs the loan decision model accord to mathematical programming method.On this condition,carries out emprical analysis with the aid of some data of a commercial bank of our country.The results Creditrisk+ model is simple and practical,with the practice basis in china banks. Introducing data warehouse for commercial banks credit risk management can improve efficiency and accuracy of economic capital calculation in the measurement of credit risk. The introduction of data warehouse will enable China's commercial banks in credit risk management system more perfect.