Commercial Bank Credit Default Probability

The core content of BaselⅡis Internal Ratings Based Approach whose key content is evaluation and measurement of Probability of Default. Probability of Default has become one of core tools to calculate expected loss (EL), value at risk (VAR) and economic capital. Besides, Probability of Default is also the external criterion of weighting different rating system. So the assessment and measurement of Probability of Default has significant meaning for credit risk's management of commercial banks, credit risk's supervision of financial supervising institutions and external rating system.This paper includes six parts. The first part is introduction, which introduces the background and meaning of this subject, summarizes correlative domestic and foreign articles and points out the framework of this paper. The second part begins with the definition of Probability of Default and analyses the requirements and meaning of measuring Probability of Default under the framework of BaselⅡ. In the third part, I sum up diversified evaluating methods, including early analysis of single variable and multivariable analysis whose typical representatives include multivariable judging analysis, Logit model, Main element's analysis and Neural Net model. The fourth part expounds the prevalent models including Credit Metric model, Credit Portfolio View model, KMV model, Credit Risk+ model and so on. Then in the fifth part, a demonstration research on measurement of Probability of Default of listing companies, which is based on KMV model, is involved. Then I point out the advantages and limits of demonstration research based on KMV. The sixth part makes some correlative suggestions in allusion to existing problems in our country.