A Research On Credit Risk Measurement Of Commercial Bank Under Internal Ratings

The New Basel Capital Accord gives the financial institutions a new measurement and management framework of credit risk. Basel Committee attaches great importance to the internal ratings-based approach in risk management and capital regulation. Chinese banking can not used to the traditional management models and methods, but learn the new ideas, new technology. Therefore, Chinese banking have to study actively the internal ratings-based approach, and draw on the experience of international banks, and develop our own internal rating system.This article discusses three aspects:(1) Analysis of situation. I have a analysis of the credit risk characteristics and particularity of the credit risk that the Chinese banks face. Then, I expounds four stages of credit risk management Chinese commercial banks have been through. Finally, I cite the situation of several state-owned commercial banks in the internal ratings-based approach.(2) Measure credit risk in Internal Ratings-Based approach. This section focuses on the key factors PD and LGD. With the stock data, I have a empirical test of KMV model. Finally, I explain the way to measure economic capital.(3) Difficulties and Suggestions. There are problems about Chinese banking industry itself, also the external macro-environment issues. Under the current tide of economic globalization, Chinese banking industry faces competition with foreign banks and lack of the internal construction, so we have to get integrated into the international mainstream of the capital framework. Facing the issue, the author put some policy recommendations so that the Chinese banking industry may get into the framework of the Basel New Capital Accord gradually.This feature of this paper lies on the further analysis of the particularity of credit risk of Chinese state-owned commercial bank to the special nature of credit risk, which makes this e in more close to reality, but also makes the discussion more meaningful. In addition, I analyze the advanced model in a deeper way. Adhere to the new Basel Capital Accord as a guiding framework, this paper is supposed to achieve the credit risk management. This paper has a strong practical significance. I want to provide some constructive suggestions about establishing a scientific credit risk rating system by combining the theory with practical analysis of the situation for Chinese commercial banks.