Research Of Credit Risk Measurement Based On Internal Ratings-Based Approach

This paper first defines the concept of credit risk and characteristics of the theoretical background of the field of risk management, credit risk measurement methods and the research situation at home and abroad to conduct a comprehensive induction and finishing, and on the IRB to do theoretical analysis for the study of the paper put forward ideas and direction. Second, the focus on several main elements of modern measurement models, characteristics and advantages and disadvantages, and they are two aspects of theory and application of a detailed comparison, so as to arrive:KMV model is suitable for measurement of China's Listed Companies credit risk. In addition, this paper CCER Stock Quotes provided by the listed company data and financial data, on the KMV model for the application of the empirical analysis. The empirical results show that the model can more accurately measure the credit risk of listed companies in China. Finally, the paper describes China's commercial bank's internal rating system of the status quo, focusing on analysis of multi-level classification of loans and the process of IRB rating the similarities and differences, combined with previously discussed the implementation of China's commercial banks to propose a solution IRB.