Creditmetrics Model As The Core Credit Risk Management Studies

Credit risk is one of the main risks faced by commercial banks. To measure credit risk accurately is important. It's beneficial not only for the management security of commercial banks, but also for the stability of the whole financial system and the continual healthy development of our national economy. As far as our commercial banks are concerned, especially for state-owned commercial banks, the quality of the loan assets is poor and the rate of bad debt is high all the time. Bank credit risk has been the most serious hidden trouble of the financial risk in our country. With the entry of more foreign banks, our bank industry will face more serious challenges. How to improve risk management is the important research in our finance. It's urgent to strengthen credit risk management for our commercial banks. For this purpose, this thesis uses the foreign fruits of research and application for reference. Combining with the characteristics of commercial banks in our country, the thesis tries to introduce model and quantitative management method to the credit risk management of commercial bank in our country.According to the situation in our country, this thesis bases on the the model of CreditMetrics and try to find good ways to strengthen the credit quantitative analysis and management. There are three chapters in this thesis. The first one begins with the introduction of fundamental concepts about credit risk and the ways to evaluate it, then introduces all kinds of measurements and has a compare. At last it summarizes the actuality of credit risk management in our commercial banks and emphasizes on the urgency to strengthen risk measurement and management. The second chapter first introduces the basic theory of CreditMetrics model. In particular, it's suitable for those borrowers who although haven't defaulted, their credit rate has changed. Then according to the actuality, the thesis puts forward some relative advices about risk measurement and management ways which base on the CreditMetrics model. The third chapter analyzes the feasibility...