The Empirical Research Of Chinese State-owned Commercial Bank Credit Risk Measurement

Now credit risk is the country’s main the management tasks and problems ofcommercial bank risk,with the deregulation of interest rates and expanding the sizeof banks and businesses, the inter-bank competition will intensify, it leading to anincrease of default, the risk of pressure faced by commercial banks to further increase.Banking objective measure of credit risk-bearing capacity has been placed in front ofthe bank itself and regulatory bodies need to solve the problem. This requirescommercial banks improve risk measurement methods, raise awareness of riskprevention. Regulators need to strengthen the right guidance. From the study of thestatus of China’s commercial banks in terms of risk measurement, this article from themacro and micro aspects of the credit risks of five state-owned commercial banksmetric analysis, the measurement study of Chinese commercial bank credit risk has acertain theoretical and practical significance. This paper first describes the currentstatus of China’s credit risk management connotation and credit risk.Secondly, the introduction of modern credit risk measurement model for acomprehensive analysis of their respective theoretical approaches, select Creditmetrics model to the five state-owned commercial bank credit risk of an illustrativeexample.Again, due to the credit risk with the "fat tail" feature, this paper introduces thetheory of stress tests on the "fat tail" case for quantitative analysis.At last, In the thesis, In the thesis, the introduction of non-performing loan ratioas an intermediary indicators of macro stress testing analysis, the five state-ownedcommercial bank credit risk of the impact of external sources of empirical research.