Applicability Of CreditMetrics In The Domestic Commercial Bank Credit Risks Measure

Credit risk refers to the loss possibility duing to the borrowers can not fully fulfill the contract or Default, The potential loss of the creditor’s asset value owing to the decline in credit ratings may also be regarded as a credit risk. Credit risk has always been the main content of Risk Monitoring and Control for governments’banking sector, Moodie,S & P and other financial rating agencies’ research pointed out, in terms of importance and hit, Credit risk is much higher than other risks,The importance of credit risk is self-evident, it related to all aspects of social and economic life and affect the decision-making and economic development of a country. Accurate measure of credit risk is a significant pre-condition for a nations’ modern credit risk management. It is not only a important condition for recognition of credit risk under complex environment, but also the core content of modern credit risk control methods such as credit hedge and credit portfolio management.To measure the credit risk of China’s commercial banks more accurately, firstly This paper analyzes the credit risk quantitative research of domestic and foreign scholars, It is concluded that the current credit risk management methods of China’s banking industry still adopt qualitative and static analysis, Credit risk quantification is imperative, And combined with the reality of our country, this paper put forward applying CreditMetrics model to China’s commercial banks, Comparing to the credit portfolio model as Moodie KMV, McKinsey CPV and CreditRisk+, the research literature shows that the CreditMetrics model is more easy to obtain input parameters and introducing the idea of VaR. It is more suitable for China’s actual conditions.This paper takes a bank in China as the research object. Empirical research is strictly in accordance with the CreditMetrics model, making the research more persuasive and instructive. At the same time, some technical methods and parameters of the model are revised. These are conducive to the further study of CreditMetrics applied in China’s banking system.