The Application Of Credit Risk Model To Commercial Bank Risk Management

Credit risk is the most important risk that commercial banks face. With the trend of financial globalization and financial market volatility in recent years, commercial banks are facing unprecedented challenges of credit risk. BaselⅡand China's banking regulators also continue to improve the commercial banks in credit risk management requirements, credit risk measurement methods and models of innovation and improvement. From the perspective of commercial banks, credit risk measurement models of different commercial banks in credit risk management in the application of the major classical and modern credit risk measurement are described and comparative analysis, and their applicability in commercial banks studied. By comparing, finally select the Logit model to construct and analysis. Using SPSS software processing sample group of non-financial indicators and financial indicators through T test and principal component analysis finally get six indicators that best reflects the corporate credit risk. Using the six indicators as Logit model input variables, external ratings as output variables, develop model building. The indicators into the model had a higher contribution to the model, and the model has a certain accuracy. The study on quantitative measures of commercial bank credit risk and credit risk management with some reference, and also provide some basic work for the optimization and improvement of the follow-up models.