The Research Of Commercial Bank Credit Risk Early Warning Based On The ARIMA Model

Governments have pay more attention to the commercial bank risk management thanbefore,as the financial crisis. From the view of our country bank system, loan businessaccounted for70%of the total business, it will affect the safety of the entire financial systemif credit crisis breaking. So it is the most important task for commercial bank to administratecredit risk. It will get more profit in the safety and prudent environment. According to the riskmanagement of the “three times the law”, if commercial bank predict the risk before the loanbeginning, The reduced losses will be3times as many as in the loan through various methodsmake up after the loss; The unrecoverable loss will be three times the losses could be saved ifthe bank suffered loan risk attracted. Obviously, the most effective management means ofcredit risk is to do well risk monitoring in advance. Through establishing the credit risk earlywarning system, forecasting the possibility of the credit risk timely, it will curb theburgeoning of loss or falls to lowest of will.The purpose of this paper is to establish a suitable credit risk early warning methods forour commercial bank, the perspective of this paper is on commercial bank risk managementdepartment as the monitoring objects of the enterprise repayment risk. The thinking of thisstudy including: On the base of analyzing the current commercial bank credit risk earlywarning situation, existing problems and the causes of the problems, constructing thecommercial bank credit risk early warning index system through the warning index systemconstruction principle and analysis of influencing factor of commercial bank credit risk,combining the warning index system and method of early warning to warn the credit risk,finally, puts forward several corresponding improvement suggestions according tocommercial bank credit risk early warning reasons for problems.The main idea of constructing the warning system is：First, establish a warning indexsystem through the index screening. Second, determine the weight of each index through themain level analysis method. Third, application effect coefficient method do index numericalindexing, and then multiplied by the corresponding risk assessment of weight. Fourth,application practice regression model——sequence moving average(ARIMA) on thecommercial bank credit risk forecast, using the result comparing with the warning value toforecast the potential risk.