Case Analysis And Use Of Credit Risk Pricing Model In Commercial Bank

Based on some policies in Basel III and according to economic capital management in China commercial banking,we show the current credit risk assets problems.The PD,LGD and EAD is calculated by expert experience method or statistical modeling method,though the primary method and senior method of the risk weighted asset pricing,the case about the certain city commercial bank is analyzed.The result shows:the different retail loan though the weight approach or the internal rating based approach is approximate,and the internal rating based approach is better than the weight approach on the risk weighted asset pricing in commercial bank.To sum up,compared the economic details in commercial bank,we decide to use which approach to calculate the asset.