The Rearch On The Measurement Of The Credit Risk Of Corporate Exposure In Commercial Banks

Credit risk is one of the most serious risks on financial market, so how to measure and manage credit risks is a key subject which commercial banks face all the time. After entering WTO, the big problem, our country is facing, is how to improve the management and control of commercial banks'credit risk in our country.The reform of finance system and banks in China are later than outsides. The study on risk measurement management are less. The methods and means of monitor on banks lag requirement. So, the dissertation has a certain theoretic purpose. China has entered WTO, which fastens combine Chinese business operation management with the world finance and urges us to learn outsides credit risk measurement and management. It is necessary to develop theory and methods of credit risk measurement and management based on actual circumstances in China. So, the dissertation has a certain practical purpose.With the use of combining with theoretic and empirical study method, the paper gives theoretic analysis and empirical study on relatively famous current credit risk measurement models, with the foundation and actual circumstances in China, the paper gives preliminary study on how to apply the models and to strengthen credit risk management in China.Because quantitative study on credit risk is a weaker chain in the progress of commercial banks'credit risk management, the paper compares several worldwide famous quantitative model of credit risk at a quantitative angle and select KMV model because of our country's actual situation.As the quantitative study of credit risk is the weakness of the risk management in Chinese commercial banks, this paper did comparative analysis regarding quantitative model of the credit risk which is fashionable internationally, and at the same time thinking of realistic circumstance in China and the fluctuation of the stock price, using KMV model, did analysis regarding credit risk of domestic unlisted companies.At last, at the part of conclusion and suggestion, this paper concludes the result of quantitative study and forwards several pieces of suggest to build modern quantitative model and improve present situation of credit risk management in China.