Calulation Of Crdit Risk By Credit Risk+ Model

Credit risk, which is a kind of risk exists when traders can not fulfill the contracts, is the oldest financial risk that commercial banks have been facing. With the influences of changes in society environment and other economic factors, the measurement and research methods of credit risk changed dramatically in the last decades. The level of openness of Bank industry also gradually increases under the financial globalization environment. Therefore, how to effectively avoid credit risks becomes the most important issue when banks from various countries taking international financial actives and also becomes the most challenging topic of risk research in the next few years.This dissertation selected the Credit risk+ model the starting pint of research with the aim to improve risk management of banks. It introduced the basic theories of credit risk+ model. Although the Credit risk+ model requires relatively less data, has strong data solving ability and has high popularity in practices in China, it still cannot be directly used to measure credit risks of our commercial banks as the conditions is not mature yet, for example, the problem of parameters(probability of default, Loss Given Default) selection. Therefore, with the consideration of our current credit risk measurement and management level of commercial banks and the weaknesses of imperfect credit rating equipments, lack of historical data, initial stage on data building and imperfect information collections on debtors in China, this desecration made some reasonable adjustments on parameters selection and measurement of traditional Credit risk+ model.Finally, the traditional credit risk + model is not reasonable under its own hypothesis. If the default loss is fixed, it obviously ignores the changes in the degrees of default loss. In the real practice of finical activities, the degree of loan default loss should changes. The distortion of hypothesis hindered the in-depth research of credit risk measurement in China. This desecration used the credit rating transition matrix and default risk-adjusted short-term interest rates to illustrate the changes and made relevant adjustments on traditional Credit Risk+ model to improve the practicality of the model.