Research On Credit Risk Measurement Model And Economical Capital Allocation With Bayes Method

From the November 2006, China the omnibearing opening to the outside world financial system, the banking will face the foreign capitals bank and enter the unprecedented challenge and impact that bring in an all-round way. Since August 2007, The serious influence produced by loan crisis causes the whole world money market to be unstable, How to promote the credit risk manangement of Chinese commercial bank , The banking circles further realize the credit risks management important.strengthening anti-risk ability and market competitiveness, realize the goal of management that the value of commercial bank maximizes, it is one that worth financial academia and bank important subject that industry further investigate. It is one of the key propositions of commercial bank management that credit risk is studied, it is the practice question paying close attention in the reform of Chinese commercial bank at present too. This text regards studying the theory in modern finance as guidance, the relevant methods to use statistics, mathematicas and management and specialized software, qualitative analysis is combined with quantitative analysis, study the efficiency problem of Chinese commercial bank, aim at offering possible theory and method for risk calculation and the allocation of economic capital of commercial bank of China to support. This text is under the guidance of the general theory of commercial bank credit risk management theory, " Influence factor analysis of credit risk --Produce credit risk loss distribution -- allocating the economic capital " it is a thread, follow and analyse from theory analysis , real example that launches research to the basic thinking of the countermeasure and suggestion " in countermeasure, involve the contents of five respects mainly.This paper comprises four parts .The first part introduce the background and the significance of this paper, Then the second part ,we introduce the credit risk explain the concept of economic capital and the related theories of economic capital calculation and allocation ,then Introduced the credit risk measurement and explain the applications based on the credit risk economical capital disposition in the property disposition combines and manages the aspect and after the iris strategy management aspect .The third part is the emphraze of the paper ,making credit risk loss distribution model of credit loss distribution,the calculation methods of economic capital and RAROC model. The last part we research the economic capital allocation in Chinese bank system from a practical point, to test whether the method is scientical . provide some suggestions for the development of economic capital allocation and management in China.