State-owned Commercial Bank Credit Risk Control Model

The .CreditMetrics is detrusived by J.P.Morgan and some collaborators organization in 1997. Now , it has been one of the most popular inside credit risk management model. How to combine idiographic circs and introduce western advanced risk control model to amend and supplement the Credit Metrics model ,how to establish credit risk management model fitting the state commerce bank of China ,those are the works we will do .In this paper we amend and supplement in three aspects, the main work is : â… : In the state commerce bank of China, the method of credit grade have already be close to the international's ,but it exposures some problem in practice .In this paper, firstly we use stepwise discriminant analysis method in the multivariate statistics analysis to select the index from all of the enterprise rating index and establish reasonable enterprise credit rating system . Secondly, we use multivariate distance-distinguish setting up the discriminant criterion of enterprise credit rating to grade the enterprise's credit level.â…¡: In the CreditMetrics model , we use variance to measure credit risk .The measurement of credit risk treat the variational portion of market value which induced by the credit grade elevate and debase in the same way. The measurement of credit risk violate the true mentality recept of the bank. In this paper, we bring forward to use semi-deviation as the new credit risk instrument and present the CreditMetrics model based on semi-deviation, secondly we compare the semi-deviation model with variance model by risk flexibility. â…¢: In the CreditMetrics model,it is pivotal to ascertain the correlation of the assets in using the Structed Monte Carlo Approach. The enterprise risk is the basic reason that leads to credit risk and the bank is the final undertaker of the credit risk. Upon this view, this paper calculates the expected rate of the loan that relates to the enterprise bankrupt rate by using the Structed Monte Carlo Approach. Then, we simulate the return of the loan in different enterprise bankrupt rate and ascertain the correlation of the loan.