Research Of Credit Risk Management Of SPD Bank

One of the most important kinds of risk which the commercial bank will meet is the credit risk. In the past few years, Subprime Crisis, Ireland debt crisis and Europe debt crisis are all triggered by credit risk. How to effectively and precisely calculate and forecast the credit risk and how to improve the operating quality of financial bank are a long-term study.This thesis begins to study the current situation of credit risk management of SPD Bank, introduce the popular method of credit risk management and analyze the requirement of BASEL capital accord for internal credit ratings. Although basic credit risk management system has been setup by SPD Bank under the requirement of domestic standards, there is much space for SPD Bank to improve to meet BASEL capital accord. The main distance is the credit risk measurement method between SPB Bank and BASEL capital accord. There is obvious disadvantage of risk pricing The measurement method of SPD Bank which may result in short of core data support and measuring capital uncorrect. More restrict and detailed requirement will be put forward to commercial bank after interest rate liberation.Based on all the analysis, several popular credit risk measurement methods are discussed and compared. CreditMetrics Methods can cover all kinds of credit product and supplemented to current risk management system of SPD Bank. At last, modified CreditMetrics Method is used to compare and measure the credit risk of two branches of SPD Bank. The model is tested to be effective to improve the management of credit risk, loan approval, risk pricing for commercial banks.