The Assessment Model In Commercial Banks Credit Risk By Copula-Bayes

There are many types of risks in the commercial banks operate, including credit risk, market risk, operational risk, liquidity risk, country risk, reputation risk, legal risk and strategic risk. The credit risk which faced by commercial banks in China is the most important risk. That is the most primary factor which causes bank goes bankrupt. Therefore, how to improve the management of credit risk is especially important. The thesis attempt to establish a credit risk assessment model which used in commercial bank by Copula-Bayes classification algorithm. This is a great significance in practical. This thesis discuss by the following two mainly areas:1. The thesis analysis detailed the current situation of the credit risk in Commercial Bank of China. In addition this paper describes commonly three econometric model used in credit risk management: Logit model, KMV model and Creditmetrics model.2. The thesis constructe the Copula-Bayes model used in the credit risk of commercial bank, empirical analysis it is feasibility and effectiveness. That impove the model made better application of the results in application. It provides a reference for management and decision which in the credit risk of commercial banks.