The Reserch Of Credit Rating And Credit Metrics In Credit Loan Of Commercial Bank

The main risk that commercial banks face is credit risk, of which the typical characteristic"small probability, big influence"cause the credit risk management a tough task, but stimulate the credit risk management technics to develop continuously: credit risk management became more quantifiable; The credit derivatives sprout; Credit risk management adopts portfolio method; Credit risk management turns from the static state to the dynamic state etc.. Credit rating, which is a quatitative method to define the debt-repaying ability, debt-repaying will and probability of default (PD) with a series of special charactors, plays quite an important role in important credit risks management.The author summed up foreign commercial bank's credit rating respective advantages to facilitate later research based on the risk management and the credit theory by comparing them. At the same time,he analyses the disadvantages of them and provides the foundation about the design of weight for the model of credit rating. Second, indicate the disadvantages of rank analysis in model of credit rating and provide to use the method of econometric to decide the weight of credit rating. Third, compare the models between tradition and modern, indicate that the Credit Metrics designed by J.P.Morgan is suit for banks of china. On the end, suggest some proposes of optimalizing the credit rating of commercial banks of china.The main performance: (1) From the view of econometric, this paper, on the basis of past financial data of listed coporations in China, constructs scientific credit risk rating evaluating system by use of analysis of main agents and constructs the model of measuring the possibility of default by use of Logistic method and explores the foundation about the design of weight between parametes and proposes using the explanative degree of model as the most important standard of the design.(2)analyses the models of credit risk. According to comparing them, indicate the direction of model selecting.