Measure Of Credit Risk Research

Credit risk is one of the oldest and most important financial risks faced by commercial banks. Credit risk not only directly affect the operation and security of commercial banks, but also affect a country's financial system's stability and sound macroeconomic development, especially in the the new situation of financial globalization, serious credit risk will cause worldwide economic fluctuations. So raising the level of credit risk management become an important task and objectives for commercial banks.Credit risk measurement is the main content of the credit risk management. In recent years,the research on credit risk measurement,which is attached much importance by the international financial sector and the academic community, has become a challenging subject in the field of risk. The credit risk measurement methods continue to innovate, particularly in the late 1990s, credit risk measurement research has made breakthrough progress.Modern credit risk measurement models based on the modern financial theory are developed and used widely in developed countries. The assessment and measurement technology of credit risk in China remains relatively traditional, single, There is a big gap compared with developed countries.In view of this, This paper choose the credit risk measurement methods as a research topic.This paper starts from the concept, characteristics and the reasons of credit risk,states the elements of new Basle Capital Accord,main content of IRB and measurement of credit risk factors and gives respectively computation expressions of individual loan and portfolio loan's expected loss(EL) and unexpected loss(UL).Then mostly recall the development course of credit risk measuring methods,overview the principle of credit risk measurement methods systematicly .Focus on evaluating their advantages and disadvantages and make comparision with traditional methods and modern models.It is thought that the quantitative analysis and modeling will be development trend in the credit risk management field.On the basis of theory analysis, according to China's fact, this paper makes empirical analysis by establishing an linear discriminant analysis model and an logistic regression model samples of China's listed companies.Empirical results showed that two models both have good default forecast ability for samples one year before and two years before.But the accurate of default forecast ability for samples three years before is low.In this study, two models have same forecast and classification ability that they can recognize China's listed companies' credit risk.So at this stage,the two models are fit for credit risk measurement of China's commercial banks.