Research On Credit Risk Of Commercial Banks Under Macroeconomic Cycle

With the continuous reforming and opening to the outside world, Chinese commercial banks also have a huge development. As the credit operation is primary service of commercial banks, inevitably, credit risk become the main risk of Chinese commercial banks. The influencing factor of credit risk can be divided two types: system factors and Non- system factors. As system factors, like macro-economy cycle fluctuating etc, can’t be eliminated completely, so more and more domestic and overseas scholars have paid attention to them. However, Chinese commercial banks’ realistic condition is that the factor of macro-economy fluctuating cycle has not been included into the evaluation model of credit risk. This has resulted commercial banks can’t perceive and keep away the credit risk under macro-economy cycle timely. According to the realistic condition of Chinese commercial banks, it is meaningful to research the relation between macro-economy cycle and credit risk. It can not only help Chinese commercial banks to improve the pattern of credit operation, but also enhance the level of credit risk management.In this paper, on the basis of reviewing macro-economy cycle theory and credit risk theory, to analysis how macro-economy cycle affects commercial banks’ credit risk. There are three different aspect: banks’ own, borrowers and superintendent. Next, According to the realistic condition of Chinese commercial banks, to select and collect the macro-economy data and non-performing loan(NPL) data. The interval of these data is from year 2000 to 2013. According to the result of empirical research, we can see that Chinese commercial banks’ credit risk are influenced by macro-economy cycle, and they show inversely change.According to the result of study, in this paper, try to give some suggestions, such as: improving the mode of credit operation, raising the level of credit risk management, cautious financial regulation based on macro-economy cycle and so on. With the purpose of helping commercial banks to eliminate the credit risk bring by macro-economy cycle as far as possible.