Research On Credit Risk Management Of Commercial Banks In China

The commercial bank is different from general enterprises.Most of its funding comes from the deposit of its widespread client base.This character determines that its profits are mainly derived from the interest earned on loans to the people who are short of money.So,if commercial banks want to achieve profitable goals,it must have the ability to take risks and manage risks well.One of the oldest and most influential risks to the commercial banks is the credit risk when the commercial bank obtains the interest rate through the loan.In recent decades,although there is an increasing tendency for other risks in market management,it can not change the situation that the credit risk is the most important form of risk in the commercial banks,especially in China.Credit risk has become the biggest risk of commercial bank credit.Because the credit risk have a huge impact on China' s commercial banks,the control and management of credit risk of the banks concerns the stability of the banking system and the prosperity of the national economy.Optimizing the management of credit risk is the most important thing for China' s commercial banks.Now,many credit risk measurement models are applied to measuring the default rate,but most of them are suitable for western countries.Therefore,one of the urgent problems of Chinese commercial bank' s credit risk to be solved is to explore and use modernization models which are suitable for the Chinese actual situation.Based on the new international banking supervision standard “Basel capital accord III ”,the primary ideal of this paper is to quantify the credit risk,to study and establish the model which can measure and forecast the credit risk.From the shallower to the deeper,this paper describes credit risk' s related concepts,the process of risk management and the current faced practical problems in China.And then,by comparing and analyzing the classical credit risk measurement model and the modern credit risk measurement model,this paper summarizes the merits and faults of the four international mainstream credit risk measurement models,which are KMV model designed by KMV company,Credit Risk+ model designed by CSFP,Credit Metrics model and Credit Portfolio View which is designed by McKinsey Co.Moreover,according to the actual situation in our country,this paper comprehensively analyses core thoughts,theoretical basis and model framework of the four models.And finally,it is found that the CPV model is more suitable for China' s macroeconomic situation.To verify the effectiveness and accuracy of the CPV model in predicting the default rate of credit risk,further from the quantitative aspect,this paper chooses the CPV model to do the empirical analysis.Finally,this paper establishes mathematical expressions between macroeconomic indicators and credit default rate by large data.This achievement for introducing the foreign credit portfolio method to commercial banks in China and leading to improve the ability to increase revenue,reduce risk and resist risks effectively is of great significance.