The Risk Management Theory And Empirical Study Of Our Country Commercial Bank

The finance is the core of the modern economy, but the commercial bank system is the core of the financial system. The commercial bank is the special business enterprise of the management currency, its attribute is native. The financial risk management problem of the our country commercial bank not only is the important research topic of the economy theories field, but also is extensive concern by social public.This thesis is based on the classical risk management theory model ,namely through the basic process that first to identify the risk and then to evaluate the risk followed by risk management policy .Firstly, through the study of financial risk of commercial banks ,including its essential, characteristic, forming mechanism, mode and way of conducting ,the thesis give a full study on risk identification. Secondly, It investigates investigate the qualitative leading management model and the quantitative leading management model of the credit risk, especially introduce the theory of the Z-score Model and the KMV model. We also analysis the financial statement and the stock exchange data of the 10 listed companies. Finally based on status and the major problem of the risk management in our country, we raise the significance of enhancing and consummating of the management of credit risk.Through the above investigation, we draw the conclusions as below: First, the risk management model has an important effect on the management of the commercial bank. Second, the new Basel Capital accord brought new risk and challenge to the commercial bank in enhancing the management of financial risk, especially the credit risk.Through the result of the analysis on the real case, we can see that: first, the Z-score Model of Altman is easy to handle, which is effective in forecasting and practicing. But we have to adjust the threshold recognizing according to the situation of China. Second, the Distance-to-Default and the Expected Default Frequency which can be calculated by the KMV model have a good reaction in the credit status of the listed companies. The Distance-to-Default can be adjusted according to the data of the stock exchange market, which is effective in reviewing real time credit status of the listed companies. The KMV model is the feasible choose for China to transit the credit risk management from qualitative leading to quantitative leading. Chinese commercial bank can enhance the risk management level by setting up a consummate data base and a management model fitted to the situation of China.