Research On Credit Risk Quantitative Measurement Of Commercial Banks In China

In 2007, the U.S. subprime mortgage crisis caused global financial turmoil, and even Lehman brothers, Bear Stearns and Merrill lynch were also too difficult to survive. Therefore, how to effectively control and measure credit risk has become an urgent issue for financial institutions and investors. Especially in the process of economic globalization and integration, it's essential for China to learn foreign advanced technology and establish the feasible measurement.1,The Research PurposeBy using the empirical studies, the paper analyses the data of listed companies from 2005 to 2007 to test which model is the best way to measure the credit risk of commercial banks in China.a. The paper analyses the discrimination accuracy based on multivariate linear model and logistic model.b. The paper discusses the advantages and weakness of four modern measuring models and their suitability in China.2,Main ContentsThe paper is composed of six chapters.Chapter 1 mainly introduces research background, research purpose and main contributions.Chapter 2 is literature reviewing and comments which formulate most researches on credit risk measurement at home and abroad.Chapter 3 defines the basic meaning of credit risk and summarizes the internal and external reasons why in China commercial banks are often at a great risk.Chapter 4 is mainly about credit risk measuring, discusses and compares the credit risk measuring methods, models such as Credit Metrics, KMV model,Credit Risk+and Credit Portfolio View model. Chapter 5 makes an empirical study of credit risk quantitative measurement of commercial banks in China.Chapter 6 points out research limitations and gives policy suggestions. Based on the theoretical explanations and empirical analysis, this chapter puts forward the suggestions for commercial banks to improve the level of risk measurement and summarizes some limitations for further research.3,Main Contributionsa. By comparing multivariate linear model and logistic model, the paper analyses the data to achieve the purpose that both of them can be used to measure the credit risk, but there is still discrimination accuracy between them.b. By using the empirical analysis, the paper probes into the suitability of the KMV model and explain that the KMV model can be applied in China.