Bank Credit Risk Measurement Model Analysis And Reference

Credit risk is one of the major risk faced by commercial banks. This dissertation devotes major efforts to systematically study the most two influential modernmodels of credit risk measurement--CreditMetrics model and KMV model. At thesame time, it analyzes the possibility of carrying out these models in China's reality. It suggests that CreditMetrics model is more applicable in China. With introduction of current related efforts in China, it also puts forward several countermeasures to raise the level-of credit risk measurement according to the reality of China's finance.The dissertation is divided into three parts.Chapter one "The Introduction of quantitative measurement of modern credit risk". In this chapter, the author first expounds the basic definition of modem credit risk and the deep reasons for the development of the quantitative model. Then the author analyses the necessity of carrying out these models.Chapter two "The modem credit risk quaniitative measurement models". KMV model and CreditMetrics model are the most two popular models in western countries. In this chapter, the author introduces and analyses the operation principles of the two models, and comparatively studies the two models.Chapter Three "The several important enlightenments for China from the study on modern credit risk measurement and management". In this chapter, the author analyzes the possibility of carrying out these quantitative models in China and advances several detailed countermeasures to improve the bank's ability of measuring credit risk.