Measure The Credit Risk Of Short-term Financing Bills

China market of Short Term Commercial Paper (STCP) has been developing rapidly over the past few years. The development of STCP not only helps improve China's monetary policy transmission mechanism, but also to promote market-oriented reform of interest rates, to promote the capital market and the coordinated development of the currency market and raise the efficiency of resource allocation as well.In the past, as a result of China's financial products are not various and the history of development of the credit market is still short, Credit risk products have not been the real impact of market-oriented pricing mechanism, therefore, the yield curve of STCP was difficult to form perfectly.At the same time, to determine the issuance of bonds on the primary market and the prices of bonds traded on secondary market, as well as, the asset-liability management of financial institutions are the lack of reference standards. Therefore, the accurate assessment of the credit risk of STCP is on imminent. This article is trying to establish an effective credit risk measurement by tracking the credit rating changes of the STCP, which are traded on national inter-bank market.The beginning of this paper was consisted with the basic concept of credit risk, introduction of the research background and significance, recalling of the history of the development process of coupon market, and analysis of current status and existing problems on such a market. After that, this article introduces the following four major methodologies of modern credit risk measurement: CreditMetrics Model, McKinsey's Credit Portfolio View Model, KMV Options Pricing Model and Credit Risk+ Model, subsequently, a comparative analysis of them.The latter part of the paper mainly consisted of empirical analysis on STCP. Firstly, I created a rating system inspired by Z model, one of the traditional credit risk analysis. Secondly, to draw the credit transfer matrix by statistical analyzing historical data based on rating system above, state the significance of credit transfer matrix for credit risk measurement as well. Finally, the writer re-measured credit risk of STCP based on above CreditMetrics Model.Although limitations of CreditMetrics Model in the actual use of the process, as results showed that it can effectively measure the credit risks of STCP with different rating through the establishment of an effective rating system and CreditMetrics Model on it.