Commercial Bank Credit Risk Measurement And Management

Credit risk is the main financial risk with which commercial banks are confronting nowadays. As for the commercial banks in our country, how to enhance the management of credit risk is an important challenge. Based on the research of the modern models of credit risk measurement which are the most advanced method of the credit risk management, with the full investigation on conditions and constraints of domestic credit risk management , this paper tries to find a way to build an effective credit risk measurement model for domestic commercial banks to promote the management of credit risk.The paper consists of four parts. Part one, after introduction of the basic conception and the economic consequence of credit and credit risk, expounds the connotation of credit risk measurement and management and its up-to-date development, including the brief introduction of every method or model of credit risk management. Part two mainly researches on the modern credit risk measurement models that are very popular in western countries. In part three, choosing KMV model,the paper checks the performance of KMV's core conception--DD (DefaultDistance) in domestic practice by means of calculating the three-year-term DD value of a ST company in domestic security market. In part four, the paper has put forth some helpful proposals about how to build an effective credit risk measurement model of domestic commercial banks and what necessary works to do.