Research On Credit Risk Management Of China Zheshang Bank

Credit risk management capability is particularly important for China Zheshang Bank under the background of fierce market competition,but there still exist a large gap compared with the international advanced level,including a certain difference compared to the Basel framework,construction of risk management system and methods of risk prevention.This paper studies the credit risk management system of China Zheshang Bank and proposes corresponding suggestions based on the theoretical analysis of the literature,the actual situation of Zheshang Bank and the method of stochastic effect regression.Firstly,this paper compares the Basel framework with comprehensive risk management policy of China Zheshang Bank,analyze the problems and shortcomings in the risk management operation of emergence stage.Secondly,this paper based on the bank behavior model(Gerald Hanweck and Lisa Rya 2005)and historical data of credit business,find out the relationship between credit risk and profitability using the method of random effect regression.Conclusion shows a negative correlation between credit risk and bank profitability.Thirdly,at the operational level,this paper uses the information of credit transfer matrix and default probability selection based on data from China Zheshang Bank,verify,compare and analyze the two branches business by VaR.The conclusion shows that the results obtained by using business data can effectively improve the refined level of risk management,and effectively improving in risk pricing,performance appraisal,capital measurement formation,etc.Finally,several suggestions were made for the specific problems of Zheshang Bank in risk management and control.