A Study On The Credit Risk And The Optimization Of Structure Based On Var

The most significant change in the bank during the past twenty years is the point of the management had been shifted from traditional asset-liability management to the ERM and IRM which are based on the measurement and optimization of risks.With the development of the financial globalization and integration,varies of risk have spot out in the financial market.As one of the most acient risks,credit risk is still be the main risk.According to the new stage in our commercial banks and financial market,the credit risk management has just stepped out,not mention the ways and technicals ,thus probably making a far behind compitiveness than foreign countries.This passage is stand at the point of improving the credit risk management in commercial banks of our country.First,we learn the situations of foreign risk measurement and the application of the theory of Value-at-Risk,focusing on the comparing with the four main models,then with taking empirical analysis of the adaptable and fiseable of the main models under our financial market.At last,we conclude the advantages and disadvantages of them,and take creditrisk+ model as the basic model of the research followed which stands out to be more simplified datas and accuracy.In the part of CreditRisk+ model's improvement,first we explain the classical theory and prototype framework of credit risk model,as it denpends on the default risk,default given loss and default correlation,and there are some results on the variable of default risk already,so we assume LGD and the correlation and the default loss distribution to be random variable and go on with the research based on them in the following passage.As a random variable of default given loss,with the character of asymmetric and fat-tail,we take generalized pareto distribution to simulate it,and also corresponded core function to ensure it contained in the bound of distribution.Because of the complexity of loans under the practical situations,the independent of each loans is hardly exsiting,and it's no longer normal distribution,we bring it in in following part.Combining the models that is developed and the Value-at-Risk thoery,a new formula on the credit VaR is brought up.In the last part,basing on a panel of parameters and a group datas which came from some commercial bank in our country,with monter carlo simulation, we calculate the economic capitals,marginal contributions and credit risk VaR.Then Compared with the value of RAROC under the combining with RAROC model,and we find the improvement of the integrate yields of the rounding of some negative numbers.On the other hand,we compared the two panels results,and it turns out that the CreditRisk+ model have the highly feasibility and adaptability ,and much more efficiency and accuracy with the advanced model.At last,we espress the way of improving the structure of loan and debt in the bank with the data and picture rusults.