Study On Measurement And Control Of Commercial Banks' Credit Risk

With financial market of our country opened completely in 2006, the commercial banks faced fierce unprecedented competition. Since the start of the non-performing loans divestiture in 1999, the quality of banks'credit assets has been improved to a certain extent basing on the improvement of their own credit risk control and the gradual enhancement of exterior supervision and control. But because of relative lag in the credit risk control technology, the banking could not keep up with the variety of increasingly complicated macro economy and credit operation environment in many respects. So it is imminent to energetically reinforce the research on bank credit risk control to our country commercial banks, especially the operation of credit risk measurement technology and the enhancement of inner control management. On the practice of large number of credit business risk control and combining with bank risk control theories, this topic divides credit risk control system into four subsystems: credit risk assessment, credit activity risk control, credit risk supervision and processing afterwards and environment control, and applies complete and global risk control idea to analyze every subsystem above.The main research that this paper does as follows:(1) In order to overcome the limit of classic and modern credit risk measurement methods which need a great deal of original data and request satisfying various distribution appearance, the paper establishes short-term and long-term credit risk targets system, and introduces grey-connection degree model to measure the credit risk of ST and non-ST companies. The positive result indicates that, the credit risk assessment method basing on grey connection degree gets a good connection distinction degree to the non- ST companies, but not very good to the ST companies, because some financial targets of ST companies have maximum or minimum value, which causes the distinction degree of the calculation not high.(2)This subject studies the application of KMV model in our country, analyzes the credit condition of the listed companies and computes their default distance. The rule of thumb KVM Corporation proposed is empirically that default distance equal to the sum of value of short-term debt and fifty percent value of long-term debt. However, differing from American companies, credit condition of the Chinese listed companies is not satisfying. Default point cannot be indiscriminately imitated from it. This paper set seven kinds of default point, calculates each of default distance and examines them using no-parameter test. Finally, the most proper proportion for calculating default distance is gained. And non-circulated share is considered. Empirical analysis shows that the default distance between ST companies and non-ST companies is obviously and that KMV model in China is valid. It also finds that regression model with the intercept which regress total assets, current liabilities and long-term liabilities of the regression is the most effective.(3)This paper builds two Logistic regression models which are suitable to monitor short-term and long-term default risk, and uses test-sample to test credit risk early-warning effect of the two models through selecting financial targets that reflect short-term and long term credit risk. In this foundation, this paper also uses the complete of multilayer estimation to set up a credit risk early-warning system which is based on grey-layer estimation and accords with the objective credit practice much more than Logistic regression model, and makes use of the positive result to demonstrate the validity.Based on the construction of internal control system for credit risk, and combined with the deficiency of internal control system in our commercial banks, this subject proposal improved measures aiming at bank practice on human resources, for instance, improve the system of loan decision-making committee and mechanism of risk manager. At last, according to own credit practice, and from the perspective of micro-credit management, it brings forward a good practice on the implementation of the credit risk control measures.