An Analysis Of Credit Risk In Commercial Banks By Credit Metrics Model And Experimentalism

As the key element of the core competitiveness, it has become a primary topic to strengthen the capability of risk management of the Commercial Banks both at home and abroad. In recent years, many means have been adopted to dispose a considerable number of non-performing assets. However, from the view of the banks, the problems, arising from the non-performing assets, have not been solved systematically and mechanically yet. In the international market, the credit risk mainly originates from the possibility of counterparty default among the lenders, bond issuers and derivative products. At present, the credit risk management of China’s Commercial Banks is relatively perfect, but there is still a gap compared to the international ones. Further, the credit rating system has just begun. Therefore, it is of great importance to enhance credit risk management, which not only guarantees the safety of our own operation but also maintains the stability of national financial system. What’s more, it is of great favor and necessity of keeping the economic development in a sustainable way.Though advanced it is, it is still a bit of difficult to apply the Credit Metrics Model to the commercial banks. According to the present researches both at home and abroad, the author of the paper has systematically discussed the theories and methods of credit risk management in commercial banks. Based on the practical problems, it explores and analyses the credit risk management of Commercial Banks in China. On the basis of characteristics of commercial banks at home, it does some amendment on the Credit Metrics Model and applies it to the calculation of the Var in Commercial Banks’ loans, providing us some guidelines for the evaluation of Commercial Banks assets. In addition, as a result of incompleteness of database construction, it also recommends to construct the database from the perspectives of the Central Banks and several Commercial Banks, i.e., to standardize the information system and legally improve the credit rating system. This paper is composed of five parts:The first chapter introduces the background and significance of the topic as well as the literature review and the originality of the thesis.The second chapter discusses the definition and causes of credit risk. It further explicitly presents the definition of credit, credit risk and risk of credit loan as well as the causes of credit risk in Commercial Banks. It also classifies the Commercial Banks credit risks by taking the main characteristics of that of China as an example.The third chapter investigates the present risk management model through an analysis of the risk management model.Based on the quantitative analysis of Var of the loan under the Credit Metrics Model, the fourth chapter does some amendment on the Credit Metrics Model and applies it to the calculation of loan from Chinese Commercial Banks.The last chapter prospects a further research and makes suggestions of degree of the management on the credit risk in Commercial Banks of China.