Credit Risk Management Of Chinese Commercial Bank Based On Amended Creditmetrcis Model

Along with the deepening of global financial innovation and the development ofmodern banking, the risks of commercial banks faced become more and morecomplicated and diversified. Among these many risks, credit risk is the mostimportant, so are the commercial banks in China. Because of historical reasons, in ourcountry the level of credit risk management is low and the measurement technique ofcredit risk lag behind foreign advanced level. So there is a big gap for commercialbank in China compared with the world advanced. Overseas researchers have begunstudied the measurement technique of credit risk for a long time and the introductionof VaR idea brings about a tide of innovation. And Basel agreement and Baselagreement Ⅱ play an important role in the credit risk management of commercialbanks at different times.To survive in the competition of banking home and abroad and to follow thedevelopment of modern banking, commercial banks in China must improvethemselves to raise the management level of credit risk and develop credit riskmeasurement technique suitable for our country’s condition. There are many overseasadvanced technique worth us to use for reference, among which the CreditMetricsmodel has the potential to be applied in Chinese commercial banks for it considers thechange of quality rating and use scientific method to compute the value of the assets,besides it doesn’t require the company to be on the market and is suitable for thecredit risk measurement of medium-sized and small enterprises which is widespreadin China. So CredtMtrics model has the feasibility to be applied in commercial banksin China but it must be modified in the light of Chinese condition which is theproblem this article will research.This article modified the CreditMetrics model to suit the condition of commercialbanks in China and combined the empirical analysis of a certain commercial bank, itshows the application process of CreditMetrics model in credit risk management ofChinese commercial banks. And with the result of model operation, this article offerseffective advises for management of credit risk in commercial banks in China.