The Formation Mechanism Of The Commercial Bank Credit Risk Measure

The commercial banks would be faced with the unsystematic risk like credit risk, liquidity risk etc. and systematic risk like rate risk and market risk etc.. Credit risk is the main risk in all of these risks. In 1998' s, the environment of banks occurred obviously change due to globalization and fluctuation of financial market. At the same time, credit risks of the commercial banks were gradually increased. Hence the financial field in the world paid more attention to credit risk increasingly.In January 2001, The Basle Committee On Banking Supervision publicized Basel II: The New Basel Capital Accord-Second Consultative Paper, It marked the beginning of a new era of risk management in the world. The calculation of mini-capital in Basel II include credit risk, market risk and operation risk. According to the arrangement, The Basle Committee On Banking Supervision intends to apply Basel II in its members before 2006. It will result in a great impact to all of the banks in the world. Being one of the members of The Basle Committee, China would get the tremendous impact of this new rule soon, especially to the international banks of China.In April 2003, the Basel announced Third Consultative Paper (CP3). On may 15th, 2003, The China Committee On Banking Supervision which had been built not long ago began to collect the opinion about CP3 publicly. But the study about risk management in china has just begun. The commercial banks in china are short of scientific and advanced skill of lending management comparing with advanced banks in the world. So we should built the system of credit risk management of ourselves by referring to the experience of foreign banks.This paper will study credit risk in three aspects, those are:1. Studding the reason that cause credit risk --asymmetricinformation, by methods of game theory and information economics .At the same time, building a nonlinear programming model , and getting the conditions for optimal solution by methods of Operation Research.2. Introducing four credit risk measurement model which are popular abroad . Those are Credit Monitor Model, Credit Metrics, Credit Portfolio View and Credit Risk+ By analyzing the advantage and disadvantage and condition of application of each model, the writer conclude that Credit Risk+ is the right model which is fit for china banks. And then studding credit risk of XX bank of china by using Credit Risk+.3. Analyzing the characteristic of state-operated commercial banks of China, and then recommending the approaches of credit risk management briefly for state-operated commercial banks of China.