The Research On The Credit Risk Model Of Commercial Banks And Their Adaptation In China

The credit risk is one of the most ancient risks in the financial market. Recently, with the globalization of finance and the fluctuation of international finance market, credit risk become more and more serious, and all country's banks and investors face unprecedented credit risk. The practice of international banking demonstrated that the risk measurement and management is one of the perpetual subjects in commercial banks management. Credit risk is one of the main risks in financial market. How to improve the managerial level of credit risk is an important question for study in the development of banking industry after China's entry into WTO. However, the quantitative study of it is a bottleneck of the commercial banks of our country. Compared with western countries, the commercial banks of China still lack the supporting system from data, qualified personnel and skills, which belong to the measurement of credit risk. Therefore, it is a predicament that we face how value the credit risk of commercial bank under this kind of environment. In this paper the modern credit risk measurement models are used to analyze Chinese circumstance avert from these disadvantageous factors.First, this paper introduces some basic concepts and characteristics of the credit risk. Second, it explicitly analyzes the popular credit risk measurement models make some comments about the credit risk measurement models, the credit risk measurement model includes KMV model, Credit Metrics model, Credit Risk+ model and Credit Portfolio View model. Third, we made a series of comparative studies between these most famous credit risk models in various terms. KMV Model is worthy of our country application in the analysis and contrasts of four modern risk measurement models. And study these models' feasibility in our country. Finally, it choses the model of KMV to carry on empirically research. And compute with the Matlab method.