Research On The Credit Risk Measurement Of Commercial Banks In China

Credit risk is one of the oldest risk in the financial market，it is also the mostimportant risks which commercial banks face. Along with the progress of technologyand the rapid change of international economic environment,credit risk has becomemore and more complex，attracting more and more focus from countries around theworld to measure it. When much research effort was paid and much fund was investedinto the research of credit risk, many new models and methods have been developedand put into practice. Therefore，It is an important task for China’s banking to take theadvanced technology of credit risk management from other countries for referenceand set up models and methods suitable for China. With the above background, thispaper decided to choose the credit risk measurement of China’s banking as its researchsubject.Firstly, the paper introduced the research background and significance, thenreviewed the literature about methods and articles relative to credit risk measurementbased on the theory and research mentioned above, the essay sums up my ownopinion about credit risk. By that,an indicator system of commercial banks isestablished at microscopic view and macroscopic view. Then the author discusses theinternal risks and the external risks by using Principal component and KMV model.At last, based on the theory and research mentioned above, the essay analyzed theChinese commercial bank’s credit risk and the reason why it emerged, and putforward its suggestion and tentative plan.