Study On The Measurement And Control Of Individual Credit Risk Of A Branch Of X Bank In Xi’an

In 2007, a sweeping global financial crisis broke out in the United States, which is called sub loan crisis of the financial disaster, it spread wide and unprecedented strong lethality, resulting in many financial institutions bankruptcy. Triggered by the sub loan crisis in the United States is the subject of private lenders, large-scale personal credit default caused the financial tragedy, although due to a series of asset securitization operation, leading to the main body like the Lehman Brothers investment bank, however, the potential risk with the personal credit business has become a huge problem surfaced.In order to explore the potential of personal credit risk of commercial banks, the paper analyzing nearly three years of personal credit data of X Bank in Xi’an, Shanxi Province. Under the assumption that personal credit data are satisfied the premise of Markov processes, the use of VAR model for the bank’s individual samples assess credit risk exposures, while combining the Basel Ⅲ of commercial banks set aside capital against risk provisions against the risk sample of banks to assess the capital price, combined with the VAR model and EWMA model, the sample bank personal credit risk exposure to predict the next year, trying to find a more scientific individual credit risk measurement methods for commercial banks.The results indicate that the sample bank is feasible to use the 90% VAR model confidence to predict the personal credit risk exposure; EWMA model volatility forecasting work is not ideal, suggest to search for more suitable methods; there is a certain gap with the international advanced level in the risk management methods in the sample bank, should study more; test results show that the sample bank is difficult to live with the extreme situation, should prepare early.