The Assessment On The Credit Risk Of Subordinated Debt Issued By Commercial Banks Of China

With the outbreak of the global financial crisis in2008, Stock market slump, thepossibility of financing through the stock market reduced. Commercial banksreplenish capital through issuing of subordinated debt. With the surge in the amountof subordinated debt issued, Credit risk highlighting at the same time. So measuringthe subprime credit risk have important theoretical and practical significance.First, define the basis of China’s commercial banks’ connotation and risk sources,described the course of development and status quo of the subprime credit risk ofcommercial banks in China, And through a combination of international and domesticcontext, Analysis of the status quo of Chinese commercial bank subordinated debtcredit risk; According to the subprime credit risk rating of the commercial banks inChina2008-2011sample data, projected China’s commercial bank subordinated debtunique average one-year credit transfer matrix, And various elements based on the theJLT model of mechanism and calculated values, Calculated the value of the credit riskof subordinated debt, with various influencing factors were analyzed, to arrive at themetrics results; Finally, according to the results of theoretical and empirical analysisof the subprime credit risk assessment of China’s commercial banks, Theory ofsubordinated debt credit rating to improve China’s commercial banks and policyrecommendations of the evaluation model, analysis to make recommendations for thefuture, the rating agency is gradually introduced into the model.By theoretical analysis and evaluation of the model of subprime credit risk ofcommercial banks in China, we believe that credit risk is one of the biggest risks forChinese commercial bank subordinated debt facing, Funds raised purposesunreasonable financing for the main range of small, domestic credit rating does notwork itself has a long-term subordinated debt in place as well as commercial banks,unsecured sexual traits determine the credit risk of the subordinated debt is too large,JLT Model can measure the subprime credit risk of commercial banks in China, Creditrisk mainly by defaults, restore rate bonds present value, credit rating and maturitydecision,The model has a certain validity of the test.